Package for ARMA-GARCH or ARMA-APARCH modelling with GEV and stable conditional distributions.
| Version: | 1.0 |
| Depends: | R (≥ 2.15.0), fGarch, fExtremes, stabledist, skewt, Rsolnp |
| Enhances: | stable |
| Published: | 2014-03-16 |
| Author: | Thiago do Rego Sousa, Cira Etheowalda Guevara Otiniano and Silvia Regina Costa Lopes |
| Maintainer: | Thiago do Rego Sousa <thiagoestatistico at gmail.com> |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: | no |
| Citation: | GEVStableGarch citation info |
| In views: | Finance, TimeSeries |
| CRAN checks: | GEVStableGarch results |
| Reference manual: | GEVStableGarch.pdf |
| Package source: | GEVStableGarch_1.0.tar.gz |
| Windows binaries: | r-devel: GEVStableGarch_1.0.zip, r-release: GEVStableGarch_1.0.zip, r-oldrel: GEVStableGarch_1.0.zip |
| OS X Snow Leopard binaries: | r-release: GEVStableGarch_1.0.tgz, r-oldrel: GEVStableGarch_1.0.tgz |
| OS X Mavericks binaries: | r-release: GEVStableGarch_1.0.tgz |