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Methods and tools for estimating, simulating and forecasting of so-called BEKK-models (named after Baba, Engle, Kraft and Kroner) based on the fast Berndt–Hall–Hall–Hausman (BHHH) algorithm described in Hafner and Herwartz (2008) <doi:10.1007/s00184-007-0130-y>. For an overview, we refer the reader to Fülle et al. (2024) <doi:10.18637/jss.v111.i04>.
| Version: | 1.4.5 |
| Depends: | R (≥ 3.5.0) |
| Imports: | Rcpp, reshape2, ggplot2, mathjaxr, gridExtra, grid, ggfortify, parallel, xts, stats, future, future.apply, GAS, ks, lubridate, utils, pbapply, numDeriv, moments |
| LinkingTo: | Rcpp, RcppArmadillo |
| Suggests: | testthat (≥ 2.1.0) |
| Published: | 2024-11-25 |
| DOI: | 10.32614/CRAN.package.BEKKs |
| Author: | Markus J. Fülle [aut, cre], Alexander Lange [aut], Christian M. Hafner [aut], Helmut Herwartz [aut] |
| Maintainer: | Markus J. Fülle <markus.fuelle at gmail.com> |
| License: | MIT + file LICENSE |
| NeedsCompilation: | yes |
| SystemRequirements: | C++17 |
| Citation: | BEKKs citation info |
| CRAN checks: | BEKKs results |
| Reference manual: | BEKKs.pdf |
| Package source: | BEKKs_1.4.5.tar.gz |
| Windows binaries: | r-devel: BEKKs_1.4.5.zip, r-release: BEKKs_1.4.5.zip, r-oldrel: BEKKs_1.4.5.zip |
| macOS binaries: | r-release (arm64): BEKKs_1.4.5.tgz, r-oldrel (arm64): BEKKs_1.4.5.tgz, r-release (x86_64): BEKKs_1.4.5.tgz, r-oldrel (x86_64): BEKKs_1.4.5.tgz |
| Old sources: | BEKKs archive |
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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.