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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