Package: MSGARCH
Type: Package
Title: Markov-Switching GARCH Models
Version: 1.2
Date: 2017-10-12
Authors@R: c(person("David", "Ardia", role = c("aut"),
             email = "david.ardia.ch@gmail.com"),
             person("Keven", "Bluteau", role = c("aut", "cre"),
             email = "Keven.Bluteau@unine.ch"),
             person("Kris", "Boudt", role = c("ctb"),
             email = "kris.boudt@vub.ac.be"),
             person("Leopoldo", "Catania", role = c("aut"),
             email = "leopoldo.catania@econ.au.dk"),
             person("Brian", "Peterson", role = c("ctb"),
             email = "brian@braverock.com"),
             person("Denis-Alexandre", "Trottier", role = c("aut"),
             email = "denis-alexandre.trottier.1@ulaval.ca"))
Author: David Ardia [aut],
    Keven Bluteau [aut, cre],
    Kris Boudt [ctb],
    Leopoldo Catania [aut],
    Brian Peterson [ctb],
    Denis-Alexandre Trottier [aut]
Maintainer: Keven Bluteau <Keven.Bluteau@unine.ch>
Description: Fit (by Maximum Likelihood or MCMC/Bayesian), simulate, and forecast various Markov-Switching GARCH models as described in Ardia et al. (2017) <https://ssrn.com/abstract=2845809>.
License: GPL (>= 2)
BugReports: https://github.com/keblu/MSGARCH/issues
URL: https://github.com/keblu/MSGARCH
Imports: Rcpp, coda, methods, zoo, expm, fanplot, MASS, numDeriv
LinkingTo: Rcpp, RcppArmadillo
Suggests: mcmc, testthat
RoxygenNote: 6.0.1
NeedsCompilation: yes
Packaged: 2017-10-15 22:25:46 UTC; Keven
Repository: CRAN
Date/Publication: 2017-10-19 21:21:07 UTC
