| Name : R-bmgarch
| |
| Version : 2.0.0
| Vendor : obs://build_opensuse_org/devel:languages:R
|
| Release : lp154.3.1
| Date : 2024-09-18 06:58:42
|
| Group : Development/Libraries/Other
| Source RPM : R-bmgarch-2.0.0-lp154.3.1.src.rpm
|
| Size : 8.94 MB
| |
| Packager : https://www_suse_com/
| |
| Summary : Bayesian Multivariate GARCH Models
|
Description :
Fit Bayesian multivariate GARCH models using \'Stan\' for full Bayesian
inference. Generate (weighted) forecasts for means, variances
(volatility) and correlations. Currently DCC(P,Q), CCC(P,Q),
pdBEKK(P,Q), and BEKK(P,Q) parameterizations are implemented, based
either on a multivariate gaussian normal or student-t distribution. DCC
and CCC models are based on Engle (2002)
< doi:10.1198/073500102288618487> and Bollerslev (1990). The BEKK
parameterization follows Engle and Kroner (1995)
< doi:10.1017/S0266466600009063> while the pdBEKK as well as the
estimation approach for this package is described in Rast et al. (2020)
< doi:10.31234/osf.io/j57pk>. The fitted models contain \'rstan\' objects
and can be examined with \'rstan\' functions.
|
RPM found in directory: /packages/linux-pbone/ftp5.gwdg.de/pub/opensuse/repositories/devel:/languages:/R:/autoCRAN/15.4/x86_64 |
