Last updated 25 December 2017. Shortcuts: CATE - BI ECON - BI FinECON - BI


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
  • Estimation of Log-GARCH Models in the Presence of Zero Returns (pdf). Joint with Álvaro Escribano
  • Change-log
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    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
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    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
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    RStudio server