Last updated 29 November 2018


lgarch: Simulation and estimation of univariate and multivariate log-GARCH models
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  • Latest version (CRAN)
  • Estimation and Inference in Univariate and Multivariate Log-GARCH-X Models When the Conditional Density is Unknown (2016). Computational Statistics and Data Analysis 100, pp. 582-594 (DOI). Working paper version: PDF. Joint with Steffen Grønneberg and Álvaro Escribano
  • Estimation of Log-GARCH Models in the Presence of Zero Returns (2018). European Journal of Finance 24, pp. 809-827 (DOI). Working paper version: PDF. Joint with Álvaro Escribano
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  • gets: General-to-Specific (GETS) Modelling and Indicator Saturation Methods
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  • gets is the successor of the R package AutoSEARCH Downloads
  • Automated General-to-Specific (GETS) Regression Modeling and Indicator Saturation for Outliers and Structural Breaks (2018, data and code). Journal of Statistical Software 86, Issue 3, pp. 1-44 (DOI). Joint with Felix Pretis and James Reade
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  • betategarch: Simulation, estimation and forecasting of Beta-Skew-t-EGARCH models
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  • 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