version 1.1.0

DESCRIPTION

@@ -1,6 +1,6 @@
 Package: BEKKs
 Title: Multivariate Conditional Volatility Modelling and Forecasting
-Version: 1.0.1
+Version: 1.1.0
 Authors@R: 
     c(person(given = "Markus",
            family = "Fülle",
@@ -25,10 +25,10 @@ LazyData: true
 Suggests: testthat (>= 2.1.0)
 RdMacros: mathjaxr
 RoxygenNote: 7.1.2
-Packaged: 2022-01-31 20:15:12 UTC; alex
+Packaged: 2022-03-18 21:28:57 UTC; alex
 Author: Markus Fülle [aut],
   Helmut Herwartz [aut],
   Alexander Lange [aut, cre]
 Maintainer: Alexander Lange <alexander.lange@uni-goettingen.de>
 Repository: CRAN
-Date/Publication: 2022-02-01 16:00:29 UTC
+Date/Publication: 2022-03-19 00:20:02 UTC

MD5

@@ -1,53 +1,55 @@
-afdd20dec99bbb20f0a45788b8f46584 *DESCRIPTION
+0595f40ae12765e64370e47b01df2646 *DESCRIPTION
 d8480b2eb9e7812b832faa69fad80245 *LICENSE
-d15b16d61661876b2a63cf28fce87540 *NAMESPACE
-35662d077ca1b356179e614db7b1ef01 *R/BEKKs.R
-7b12b1ac77b62f0256e8d1c67b0905e2 *R/RcppExports.R
+1052785e41c413395ef6bbe08fd1665b *NAMESPACE
+204cef3542011faa3a2b73fd2939c177 *R/BEKKs.R
+cec50989e99569dd27fb085ca60bf186 *R/RcppExports.R
 824de6235c465213679f69577e381be0 *R/VaR.R
-06d02a6f8ad2f357d733b32e87918579 *R/bekk_fit.R
-22668f38e08950169159af78169af629 *R/bekk_forecast.R
-c6e366ebb530ec7c74c2939621d3e18b *R/bekk_functions.R
+97b72862e35ad1ece5f9502328faeafd *R/bekk_fit.R
+c289f534a873b3338d32ddb5d6920b61 *R/bekk_fit_methods.R
+174d909594f8b4fd7fc8c5ce599110bc *R/bekk_forecast.R
+17b48785b3c27f6fc72f2e14bb641014 *R/bekk_functions.R
 4a2e3003c28f5b6283b9b4ec58d3b785 *R/bekk_mc_eval.R
-0b7ef7741542234d9461f3c2f2ec2f91 *R/bekk_sim.R
-51caa7f153ace3691c2d72eda9a31131 *R/bekk_spec.R
-7af66dea8319160aeb384f52a62b02a7 *R/bekk_starting_values.R
+dbab3c62165a94a146f6680fc58ec0d4 *R/bekk_sim.R
+0b455d73947a1c494ae5a1272ba4a0e4 *R/bekk_spec.R
+c48cdcdc7207ffce772cf2fe347927d7 *R/bekk_starting_values.R
 8b056baa9735621f1a38682fab493088 *R/extract_csd.R
-de112983e83a5f411439558c3dd27454 *R/matrix_stuff.R
+79c1f3c03229aa36818ef25e1266d34a *R/matrix_stuff.R
 2e94578f980d3f4448ad5f83adff8227 *R/plot.bekk.R
 bc4abcfda57c58bc035b0ecd5db6d7f7 *R/plot.var.R
-35761f899c78ee68844d2b1349d2f188 *R/summary.bekk.R
+7372bec59594e42f01254404d7b28b53 *R/summary.bekk.R
 2067a40f0d96548a94a60570a4f5da09 *R/zzz.R
-02deaba4d5e681c0c8f20dbcac5daa6e *build/BEKKs.pdf
+fbe6056a2287e26a9bc49d7793387d86 *build/BEKKs.pdf
 68d30c6d85e802243b39a8a862993c1f *data/GoldStocksBonds.RData
 3bf0bc324b5f877e8f3599dcc4f5bf42 *data/StocksBonds.RData
-9208fa681c5a205882e39aca8071e8a9 *man/BEKKs.Rd
+4b0c54c52397202fb5aabedd48d3fd18 *man/BEKKs.Rd
 0b40bf191eb6dcdd5f99c6c3158ef637 *man/GoldStocksBonds.Rd
 37a5113a11e4beed6a8f837cd1522665 *man/StocksBonds.Rd
 966088e7017083a898ea12a663e34da0 *man/VaR.Rd
-44b204c90df550ddc5ba2b9799dcbbaf *man/bekk_fit.Rd
+286b5aff14a75840c524c26230ebb733 *man/bekk_fit.Rd
+d22d77a19851c6c6634823db777eb97b *man/bekk_fit_methods.Rd
 2c133159e55b6a353b3680eada701d9e *man/bekk_forecast.Rd
 ebc641bb58b40218e1501e25668056f7 *man/bekk_sim.Rd
-cc0bc2b1aa07b6318ad24052232dd871 *man/bekk_spec.Rd
+97c90ddf7c995799f736235af314e714 *man/bekk_spec.Rd
 378c26d3c6458f053d3216b36b3c04b4 *man/figures/Data.png
 c0e9ee41c69cae8a8a9ca62ea08fa860 *man/figures/VaR_in_sample.png
 3e38d28646e0f7d5bbb5122a8787032a *man/figures/VaR_portfolio3070.png
 d65cccbe378bd66bc1fe17460eb59645 *man/figures/VaR_portfolio_forecast.png
 1984f5d3c6a664fda44323d2fca4e2f3 *man/figures/VaR_single_forecast.png
 6a550fa74367a554d6b74416011f96bc *man/figures/est_vola.png
 226af4ec02c9f1a4585657982aa4e676 *man/figures/flow.png
-41249d4d851341a7e1eec082644d1073 *src/BekkFunctions.cpp
-f55abbd60bd256cc57dceb002fd27544 *src/BekkSim.cpp
-441c3f368a5c29b6ff834ef78bf56df5 *src/IndicatorFunction.cpp
-dddad31d2ba1a89e5c388462ae350966 *src/IndicatorFunctions.h
+9dcf4cdb2e04f5c6a420b8d05564ef3d *src/BekkFunctions.cpp
+306122ad3fa2fb204bedaaa42cd10040 *src/BekkSim.cpp
+68c9372eecfff74b2e6a839ab30c7f93 *src/IndicatorFunction.cpp
+f01bd691a1a206830ea554d89cc95ec5 *src/IndicatorFunctions.h
 13b03cd3dd721948c30479759060bb49 *src/Makevars
 61059660eb073d93e00e8ee054237071 *src/Makevars.win
-509db299a0c5d5900acc335ef882cd5d *src/RcppExports.cpp
-6f57604e13309e425a7bf82d20f5d0f2 *src/ScalarBEKK.cpp
+787414ec4befe8d48062b6252c40293c *src/RcppExports.cpp
+37a73d971a5213e261d2b330913b5130 *src/ScalarBEKK.cpp
 e45bd677c8bfde56158f2d2c74c6ffe1 *src/YLagCr.cpp
 5baa84264d7aa9a547e90a74bea06e15 *tests/testthat.R
 214be1668fd4dbabd09a0cc0447d328b *tests/testthat/test-Grid_Search.R
 d024e6624ce11962f3a0a1457729f6db *tests/testthat/test-asymmetric_grid_search.R
-f624ac1f22d3238d6f7f23afa6236b61 *tests/testthat/test-bekk_fit.R
+12278484acf02f68af7fc2df3162ae02 *tests/testthat/test-bekk_fit.R
 453eb7b8bd4cc29319cf12c327cc1b18 *tests/testthat/test-bekk_forecast.R
 d594867c184af4b4d388b775f68f4de1 *tests/testthat/test-bekk_sim.R
 259db06f864efc231590c20b009b50d3 *tests/testthat/test-bhh_bekk.R
@@ -58,6 +60,10 @@ d594867c184af4b4d388b775f68f4de1 *tests/testthat/test-bekk_sim.R
 8af45399b78b6d52b44fdc1172686347 *tests/testthat/test-loglike_bekk.R
 b08423e04c42a3cc0af47f837ead774a *tests/testthat/test-loglike_bekk_asymm.R
 c08f7696af2142ec2cbfecbf703757a7 *tests/testthat/test-score_bekk.R
+f7a11a8de30aff2b7172db50671bf3de *tests/testthat/test-score_dbekk.R
+f1d6694e47f27adf684237f6eab9aa24 *tests/testthat/test-score_sbekk.R
 d4ea268f93b0c5571b7bf8ba034b2c87 *tests/testthat/test-valid_asymm_bekk.R
 8fe320cdb36a855d31c08fccdc453306 *tests/testthat/test-valid_bekk.R
 c263a2a27ef5b8fc64fc7d062b830fbd *tests/testthat/test_score_bekk_asymm.R
+5489b57ad121b19cd5b586074621f5a3 *tests/testthat/test_score_dbekk_asymm.R
+d6a2945e6212b13dcc35dd88a2b03e28 *tests/testthat/test_score_sbekk_asymm.R

NAMESPACE

@@ -1,17 +1,38 @@
 # Generated by roxygen2: do not edit by hand
 
+S3method(AIC,bekkFit)
+S3method(BIC,bekkFit)
 S3method(VaR,bekkFit)
 S3method(VaR,bekkForecast)
 S3method(bekk_fit,bekk)
 S3method(bekk_fit,bekka)
+S3method(bekk_fit,dbekk)
+S3method(bekk_fit,dbekka)
+S3method(bekk_fit,sbekk)
+S3method(bekk_fit,sbekka)
 S3method(bekk_forecast,bekk)
 S3method(bekk_forecast,bekka)
+S3method(bekk_forecast,dbekk)
+S3method(bekk_forecast,dbekka)
+S3method(bekk_forecast,sbekk)
+S3method(bekk_forecast,sbekka)
 S3method(bekk_sim,bekk)
 S3method(bekk_sim,bekka)
+S3method(bekk_sim,dbekk)
+S3method(bekk_sim,dbekka)
+S3method(bekk_sim,sbekk)
+S3method(bekk_sim,sbekka)
+S3method(logLik,bekkFit)
 S3method(plot,bekkFit)
 S3method(plot,var)
+S3method(print,bekkFit)
+S3method(residuals,bekkFit)
 S3method(summary,bekk)
 S3method(summary,bekka)
+S3method(summary,dbekk)
+S3method(summary,dbekka)
+S3method(summary,sbekk)
+S3method(summary,sbekka)
 export(VaR)
 export(bekk_fit)
 export(bekk_forecast)

R/BEKKs.R

@@ -12,10 +12,14 @@
 #' @description
 #' \loadmathjax
 #' This package implements estimation, simulation and forecasting techniques for conditional volatility modelling using the BEKK model.
-#'  Currently, the BEKK(1,1,1) model of Engle and Kroner (1995)
-#' \mjdeqn{H_t = CC' + A' r_{t-1} r'_{t-1}A + G' H_{t-1}G }{ASCII representation} and the asymmetric extensions of Kroner and Ng (1998) and Grier et. al. (2004)
+#'  The full BEKK(1,1,1) model of Engle and Kroner (1995)
+#' \mjdeqn{H_t = CC' + A' r_{t-1} r'_{t-1}A + G' H_{t-1}G }{ASCII representation},  the asymmetric extensions of Kroner and Ng (1998) and Grier et. al. (2004)
 #' \mjdeqn{H_t = CC' +A'r_{t-1} r'_{t-1}A +B'\gamma_{t-1} \gamma'_{t-1} B+G'H_{t-1}G}{ASCII representation}
 #' with \mjdeqn{\gamma_t = r_t I\left(r_t < 0 \right)}{ASCII representation} are implemented.
+#' Moreover, the diagonal BEKK, where the parameter matrices A, B and G are reduced to diagonal matrices and
+#' the scalar BEKK model of Ding and Engle (2001)
+#' \mjdeqn{H_t = CC' + a r_{t-1} r'_{t-1} + g H_{t-1},}{ASCII representation}
+#' where a and g are scalar parameters are implemented to allow faster but less flexible estimation in higher dimensions.
 #' @details
 #' The main functions are:
 #' \itemize{
@@ -27,6 +31,7 @@
 #' }
 #' @references Engle, R. F. and K. F. Kroner (1995). Multivariate simultaneous generalized arch. Econometric Theory 11(1),122–150.
 #' @references Kroner, K. F. and V. K. Ng (1998). Modeling asymmetric comovements of asset returns. Review of Financial Studies 11(4), 817–44.
+#' @references Ding, Zhuanxin and Engle, Robert F (2001). Large scale conditional covariance matrix modeling, estimation and testing. NYU working paper No. Fin-01-029.
 #' @references Grier, K. B., Olan T. Henry, N. Olekalns, and K. Shields (2004). The asymmetric effects of uncertainty on inflation and output growth. Journal of Applied Econometrics  19(5), 551–565.
 #' @useDynLib BEKKs
 #' @importFrom Rcpp sourceCpp