Last updated 25 December 2015. Shortcuts: BI ECON - BI FinECON - BI. This webpage is optimised for Waterfox (64bit)/Firefox

lgarch: Simulation and estimation of univariate and multivariate log-GARCH models

  • Latest version (CRAN)
  • Estimation and Inference in Univariate and Multivariate Log-GARCH-X Models When the Conditional Density is Unknown (pdf). Joint with Steffen Grønneberg and Álvaro Escribano
  • Unbiased Estimation of Log-GARCH Models in the Presence of Zero Returns (pdf). Joint with Álvaro Escribano
  • Change-log

    gets: Automated multi-path General-to-Specific (GETS) modelling and Indicator Saturation (IS) Methods

  • Latest version (CRAN)
  • Homepage
  • gets is the successor of AutoSEARCH
  • An introduction
  • Automated Model Selection in Finance: General-to-Specific Modelling of the Mean and Volatility Specifications (2012, data). Oxford Bulletin of Economics and Statistics 74, Issue no. 5 (October), pp. 716-735. Working paper version: IMDEA Working Paper 2011-09 (Economics and Social Sciences Series). Joint with Álvaro Escribano

  • betategarch: Simulation, estimation and forecasting of Beta-Skew-t-EGARCH models

  • Latest version (CRAN)
  • betategarch: Simulation, Estimation and Forecasting of First-Order Beta-Skew-t-EGARCH models (2013). The R Journal (Volume 5/2), pp. 137-147
  • EGARCH models with fat tails, skewness and leverage (2014). Computational Statistics and Data Analysis 76, pp. 320-338. Working paper version: Cambridge Economics Working Paper 1236. Joint with Andrew Harvey

  • RStudio server