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nse - Numerical Standard Errors Computation in R
Collection of functions designed to calculate numerical standard error (NSE) of univariate time series as described in Ardia et al. (2018) <doi:10.1515/jtse-2017-0011> and Ardia and Bluteau (2017) <doi:10.21105/joss.00172>.
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econometricshacnsecpp
3.22 score 11 scripts 341 downloadsMSGARCH - Markov-Switching GARCH Models
Fit (by Maximum Likelihood or MCMC/Bayesian), simulate, and forecast various Markov-Switching GARCH models as described in Ardia et al. (2019) <doi:10.18637/jss.v091.i04>.
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openblascpp
2.76 score 1 stars 2 dependents 95 scripts 590 downloads