COGARCH.rm: Portfolio selection with Multivariate COGARCH(p,q) models

Portfolio selection with ICA-COGARCH based homogeneous on risk measures and its further development.

Getting started

Package details

AuthorFrancesco Bianchi, Lorenzo Mercuri, Edit Rroji
MaintainerFrancesco Bianchi <[email protected]>
Package repositoryView on R-Forge
Installation Install the latest version of this package by entering the following in R:
install.packages("COGARCH.rm", repos="")

Try the COGARCH.rm package in your browser

Any scripts or data that you put into this service are public.

COGARCH.rm documentation built on May 31, 2017, 2:56 a.m.