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 |
Reference manual: | GEVStableGarch.pdf |
Package source: | GEVStableGarch_1.1.tar.gz |
Windows binaries: | r-devel: GEVStableGarch_1.1.zip, r-release: GEVStableGarch_1.1.zip, r-oldrel: GEVStableGarch_1.1.zip |
OS X Mavericks binaries: | r-release: GEVStableGarch_1.1.tgz, r-oldrel: GEVStableGarch_1.1.tgz |
Old sources: | GEVStableGarch archive |
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