Package: geovol
Type: Package
Title: Geopolitical Volatility (GEOVOL) Modelling
Version: 1.1
Date: 2025-05-06
Authors@R: person(given = "Susana",
                    family = "Campos-Martins",
                    role = c("aut", "cre"),
                    email = "scmartins@ucp.pt")
Description: Simulation, estimation and testing for geopolitical volatility (GEOVOL) based on the global common volatility model of Engle and Campos-Martins (2023) <doi:10.1016/j.jfineco.2022.09.009>. 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.
License: GPL (>= 2)
Depends: R (>= 3.5.0), zoo
URL: https://sites.google.com/site/susanacamposmartins/
NeedsCompilation: no
Packaged: 2025-05-06 11:16:26 UTC; susanacamposmartins
Repository: CRAN
Date/Publication: 2025-05-07 12:30:09 UTC
Author: Susana Campos-Martins [aut, cre]
Maintainer: Susana Campos-Martins <scmartins@ucp.pt>
Built: R 4.6.0; ; 2026-04-25 19:13:01 UTC; unix
