ctruciosm/Robpvc: Robust Principal Volatility Components
Estimate the principal volatility components in a robust way using the procedure of Trucios, Hotta and Valls (2019) <DOI:10.1016/j.jempfin.2019.03.006>.
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Package details |
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| Author | Carlos Trucios |
| Maintainer | Carlos Trucios <carlos.trucios@facc.ufrj.br> |
| License | GPL (>= 2) |
| Version | 0.1.0 |
| Package repository | View on GitHub |
| Installation |
Install the latest version of this package by entering the following in R:
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