Computation of Volatility Impulse Response Function of Multivariate Time Series

Computation of volatility impulse response function for multivariate time series model using algorithm by Jin, Lin and Tamvakis (2012) .


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install.packages("VIRF")

0.1.0 by Dr. Ranjit Kumar Paul, 4 months ago


Browse source code at https://github.com/cran/VIRF


Authors: Dr. Ranjit Kumar Paul and Mr. Ankit Tanwar


Documentation:   PDF Manual  


GPL license


Imports stats, rmgarch, mgarchBEKK, gnm, expm, BigVAR, ks, matrixcalc, matlib


See at CRAN