BEKKs
Multivariate Conditional Volatility Modelling and Forecasting
Methods and tools for estimating, simulating and forecasting of so-called BEKK-models (named after Baba, Engle, Kraft and Kroner) based on the fast Berndt–Hall–Hall–Hausman (BHHH) algorithm described in Hafner and Herwartz (2008) doi:10.1007/s00184-007-0130-y. For an overview, we refer the reader to Fülle et al. (2024) doi:10.18637/jss.v111.i04.
- Version1.4.5
- R version≥ 3.5.0
- LicenseMIT
- Needs compilation?Yes
- BEKKs citation info
- Last release11/25/2024
Team
Markus J. Fülle
MaintainerShow author detailsHelmut Herwartz
Show author detailsRolesAuthorAlexander Lange
Show author detailsRolesAuthorChristian M. Hafner
Show author detailsRolesAuthor
Insights
Last 30 days
This package has been downloaded 480 times in the last 30 days. More than a random curiosity, but not quite a blockbuster. Still, it's gaining traction! The following heatmap shows the distribution of downloads per day. Yesterday, it was downloaded 7 times.
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Last 365 days
This package has been downloaded 6,790 times in the last 365 days. Impressive! The kind of number that makes colleagues ask, 'How did you do it?' The day with the most downloads was Jan 03, 2025 with 101 downloads.
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Dependencies
- Imports15 packages
- Suggests1 package
- Linking To2 packages