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
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- Imports15 packages
- Suggests1 package
- Linking To2 packages