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: 2026-09-26 10:55:56 UTC; root
Author: Susana Campos-Martins [aut, cre]
Maintainer: Susana Campos-Martins <scmartins@ucp.pt>
Repository: https://scmartins.r-universe.dev
Date/Publication: 2025-05-07 13:46:10 UTC
RemoteUrl: https://github.com/cran/geovol
RemoteRef: HEAD
RemoteSha: a335b71339d51c22dffbced6c4f2e1f4ecee37f7