itamarcaspi/psymonitor: Real Time Monitoring of Asset Markets: Bubbles and Crisis

Apply the popular real-time monitoring strategy proposed by Phillips, Shi and Yu (2015a,b;PSY) <doi:10.1111/iere.12132>, <doi:10.1111/iere.12131>, along with a new bootstrap procedure designed to mitigate the potential impact of heteroskedasticity and to effect family-wise size control in recursive testing algorithms (Phillips and Shi, forthcoming).

Getting started

Package details

Maintainer
LicenseGPL-3
Version0.0.1.9000
URL https://github.com/itamarcaspi/psymonitor
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
install.packages("devtools")
library(devtools)
install_github("itamarcaspi/psymonitor")
itamarcaspi/psymonitor documentation built on Nov. 28, 2018, 4:10 p.m.