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VIRF: 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) <doi.org/10.1016/j.eneco.2012.03.003>.

Version: 0.1.0
Imports: stats, rmgarch, mgarchBEKK, gnm, expm, BigVAR, ks, matrixcalc, matlib
Published: 2019-05-01
DOI: 10.32614/CRAN.package.VIRF
Author: Dr. Ranjit Kumar Paul and Mr. Ankit Tanwar
Maintainer: Dr. Ranjit Kumar Paul <ranjitstat at gmail.com>
License: GPL-2 | GPL-3 [expanded from: GPL]
NeedsCompilation: no
CRAN checks: VIRF results

Documentation:

Reference manual: VIRF.pdf

Downloads:

Package source: VIRF_0.1.0.tar.gz
Windows binaries: r-devel: VIRF_0.1.0.zip, r-release: VIRF_0.1.0.zip, r-oldrel: VIRF_0.1.0.zip
macOS binaries: r-release (arm64): VIRF_0.1.0.tgz, r-oldrel (arm64): VIRF_0.1.0.tgz, r-release (x86_64): VIRF_0.1.0.tgz, r-oldrel (x86_64): VIRF_0.1.0.tgz

Linking:

Please use the canonical form https://CRAN.R-project.org/package=VIRF to link to this page.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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