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)
- Version1.4.4
- R version≥ 3.5.0
- LicenseMIT
- Licensefile LICENSE
- Needs compilation?Yes
- Last release01/14/2024
Team
Markus J. Fülle
Alexander Lange
Show author detailsRolesAuthorChristian M. Hafner
Show author detailsRolesAuthorHelmut Herwartz
Show author detailsRolesAuthor
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- Depends1 package
- Imports19 packages
- Suggests1 package
- Linking To2 packages