geovol: Geopolitical Volatility (GEOVOL) Modelling

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.

Version: 1.0
Depends: R (≥ 3.5.0), zoo
Published: 2021-07-09
Author: Susana Campos-Martins [aut, cre]
Maintainer: Susana Campos-Martins <susana.martins at nuffield.ox.ac.uk>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
URL: https://sites.google.com/site/susanacamposmartins/
NeedsCompilation: no
Materials: NEWS
CRAN checks: geovol results

Documentation:

Reference manual: geovol.pdf

Downloads:

Package source: geovol_1.0.tar.gz
Windows binaries: r-devel: geovol_1.0.zip, r-release: geovol_1.0.zip, r-oldrel: geovol_1.0.zip
macOS binaries: r-release (arm64): geovol_1.0.tgz, r-release (x86_64): geovol_1.0.tgz, r-oldrel: geovol_1.0.tgz

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