Package: starvars
Type: Package
Title: Vector Logistic Smooth Transition Models / Realized Covariances
        Construction
Version: 0.1.8
Authors@R: c(
  person("Andrea", "Bucci", email = "andrea.bucci@unich.it", role = c("aut", "cre", "cph")),
  person("Giulio", "Palomba", role = "aut"),
  person("Eduardo", "Rossi", role = "aut"),
  person("Andrea", "Faragalli", role = "ctb")
  )
Description: Allows the user to estimate a vector logistic smooth transition autoregressive model via maximum log-likelihood or nonlinear least squares. It further permits to test for linearity in the multivariate framework against a vector logistic smooth transition autoregressive model with a single transition variable. The estimation method is discussed in Terasvirta and Yang (2014, <doi:10.1108/S0731-9053(2013)0000031008>). Also, realized covariances can be constructed from stock market prices or returns, as explained in Andersen et al. (2001, <doi:10.1016/S0304-405X(01)00055-1>).
License: GPL
Encoding: UTF-8
LazyData: true
Depends: R (>= 3.5.0)
Imports: MASS, ks, zoo, data.table, methods, matrixcalc, vars, nloptr,
        maxLik, rlist, stats4, highfrequency, fGarch, R.utils,
        lubridate, xts, lessR, quantmod
URL: https://github.com/andbucci/starvars
NeedsCompilation: no
Packaged: 2020-08-11 09:29:00 UTC; andre
Author: Andrea Bucci [aut, cre, cph],
  Giulio Palomba [aut],
  Eduardo Rossi [aut],
  Andrea Faragalli [ctb]
Maintainer: Andrea Bucci <andrea.bucci@unich.it>
Repository: CRAN
Date/Publication: 2020-08-13 10:00:02 UTC
