Package: geovol
Type: Package
Title: Geopolitical Volatility (GEOVOL) Modelling
Version: 1.0
Date: 2021-07-08
Author: Susana Campos-Martins [aut, cre]
Maintainer: Susana Campos-Martins <susana.martins@nuffield.ox.ac.uk>
Description: Simulation, estimation and inference for the geopolitical volatility (GEOVOL) model of Engle and Campos-Martins (2020) <doi:10.2139/ssrn.3685213>, where GEOVOL is modelled as a latent multiplicative volatility factor with heterogeneous factor loadings. Estimation is carried out as a maximization-maximization procedure, where GEOVOL and the GEOVOL loadings are estimated iteratively until convergence.
License: GPL (>= 2)
Depends: R (>= 3.5.0), zoo
URL: https://sites.google.com/site/susanacamposmartins/
NeedsCompilation: no
Packaged: 2021-07-08 16:48:21 UTC; susana.camposmartins
Repository: CRAN
Date/Publication: 2021-07-09 08:30:05 UTC
