Computation of volatility impulse response function for multivariate time series model using algorithm by Jin, Lin and Tamvakis (2012) .
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Dr. Ranjit Kumar Paul, 2 years ago
Browse source code at
Dr. Ranjit Kumar Paul and Mr. Ankit Tanwar
Imports stats, rmgarch, mgarchBEKK, gnm, expm, BigVAR, ks, matrixcalc, matlib
See at CRAN