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@uniroma2.it"),
person("Brian", "Peterson", role = c("ctb"),
email = "brian@braverock.com"),
person("Denis-Alexandre", "Trottier", role = c("aut"),
email = "denis-alexandre.trottier.1@ulaval.ca"))
David Ardia [aut],
Keven Bluteau [aut, cre],
Kris Boudt [ctb],
Leopoldo Catania [aut],
Brian Peterson [ctb],
Denis-Alexandre Trottier [aut]
The MSGARCH package offers methods to 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>.
Rcpp, adaptMCMC, coda, methods, zoo, expm, fanplot, MASS,
numDeriv

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"))
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>.
Rcpp, coda, methods, zoo, expm, fanplot, MASS, numDeriv

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("Alexios", "Ghalanos", role = c("ctb"),
email = "alexios@4dscape.com"),
person("Brian", "Peterson", role = c("ctb"),
email = "brian@braverock.com"),
person("Denis-Alexandre", "Trottier", role = c("aut"),
email = "denis-alexandre.trottier.1@ulaval.ca"))
David Ardia [aut],
Keven Bluteau [aut, cre],
Kris Boudt [ctb],
Leopoldo Catania [aut],
Alexios Ghalanos [ctb],
Brian Peterson [ctb],
Denis-Alexandre Trottier [aut]