Package for simulation and estimation of ARMA-GARCH/APARCH models with GEV and stable distributions.
| Version: |
1.1 |
| Depends: |
R (≥ 2.15.0), Rsolnp, methods, skewt |
| Imports: |
fGarch, fExtremes, stabledist, timeDate, timeSeries |
| Enhances: |
stable |
| Published: |
2015-08-20 |
| Author: |
Thiago Sousa [aut, cre],
Cira Otiniano [ctb],
Silvia Lopes [ctb],
Diethelm Wuertz [ctb, cph] |
| Maintainer: |
Thiago Sousa <thiagoestatistico at gmail.com> |
| License: |
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: |
no |
| Citation: |
GEVStableGarch citation info |
| Materials: |
ChangeLog |
| In views: |
Finance |
| CRAN checks: |
GEVStableGarch results |