VIRF

Authors Dr. Ranjit Kumar Paul, Dr. Md Yeasin, Mr. Ankit Tanwar

Last update 29 August 2025

Copyright license GNU General Public License, version 2.0, GNU General Public License, version 3.0

Software version identifier 0.1.0, PACKAGES.rds, 0.1.1

Description

Computation of volatility impulse response function for multivariate time series model using algorithm by Jin, Lin and Tamvakis (2012) <doi:10.1016/j.eneco.2012.03.003>.

Cites work

Volatility transmission and volatility impulse response functions in crude oil markets

This page was built for software: VIRF