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New post Dueker JBES 1997 MS-GARCH models

Last post by TomDoan « Tue Jan 30, 2018 3:31 pm
Posted in Examples and Sample Code
Replies: 19
by TomDoan » Tue Aug 30, 2011 5:59 pm » in Examples and Sample Code
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19 Replies

30300 Views

Last post by TomDoan
Tue Jan 30, 2018 3:31 pm
New post Tsay JASA 1998 Threshold VAR

Last post by TomDoan « Tue Jan 30, 2018 3:06 pm
Posted in Examples and Sample Code
Replies: 15
by TomDoan » Wed Mar 30, 2011 9:39 am » in Examples and Sample Code
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2
15 Replies

28816 Views

Last post by TomDoan
Tue Jan 30, 2018 3:06 pm
New post Triangular BEKK Model

Last post by TomDoan « Tue Jan 30, 2018 8:37 am
Posted in ARCH and GARCH Models
Replies: 1
by Zankawa » Mon Jan 29, 2018 4:16 pm » in ARCH and GARCH Models

1 Replies

5535 Views

Last post by TomDoan
Tue Jan 30, 2018 8:37 am
New post DLM, TVC and GAP

Last post by TomDoan « Fri Jan 26, 2018 10:43 am
Posted in State Space Models/DSGE
Replies: 9
by fioramanti » Wed Jan 24, 2018 7:01 am » in State Space Models/DSGE

9 Replies

15379 Views

Last post by TomDoan
Fri Jan 26, 2018 10:43 am
New post Standard deviation to percentage changes interpretation

Last post by TomDoan « Thu Jan 25, 2018 12:38 pm
Posted in VARs (Vector Autoregression Models)
Replies: 25
by jacarandas » Thu Sep 26, 2013 1:50 am » in VARs (Vector Autoregression Models)
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2
25 Replies

45485 Views

Last post by TomDoan
Thu Jan 25, 2018 12:38 pm
New post Simulation of AR(1) and MA(1) model

Last post by TomDoan « Thu Jan 25, 2018 11:27 am
Posted in Looking for Code?
Replies: 1
by bibhuti06 » Thu Jan 25, 2018 11:06 am » in Looking for Code?

1 Replies

6798 Views

Last post by TomDoan
Thu Jan 25, 2018 11:27 am
New post Mixed-frequency VAR models with Markov-switching dynamics

Last post by liqingzhao « Tue Jan 23, 2018 8:13 pm
Posted in Looking for Code?

by liqingzhao » Tue Jan 23, 2018 8:13 pm » in Looking for Code?

0 Replies

5311 Views

Last post by liqingzhao
Tue Jan 23, 2018 8:13 pm
New post Harvey, Ruiz, Shephard(1994) MV Stochastic Volatil

Last post by TomDoan « Mon Jan 22, 2018 5:22 pm
Posted in Examples and Sample Code
Replies: 6
by TomDoan » Fri Aug 31, 2012 12:21 pm » in Examples and Sample Code

6 Replies

11586 Views

Last post by TomDoan
Mon Jan 22, 2018 5:22 pm
New post January 2018 RATSLetter

Last post by TomDoan « Thu Jan 18, 2018 4:30 pm
Posted in Newsletters

by TomDoan » Thu Jan 18, 2018 4:30 pm » in Newsletters

0 Replies

67964 Views

Last post by TomDoan
Thu Jan 18, 2018 4:30 pm
New post Regarding Confidence Intervals

Last post by TomDoan « Mon Jan 15, 2018 10:46 am
Posted in VARs (Vector Autoregression Models)
Replies: 1
by RK2509 » Sat Jan 13, 2018 12:11 pm » in VARs (Vector Autoregression Models)

1 Replies

5561 Views

Last post by TomDoan
Mon Jan 15, 2018 10:46 am
New post GJR GARCH with dummy variable in variance equation

Last post by TomDoan « Thu Jan 11, 2018 1:10 pm
Posted in ARCH and GARCH Models
Replies: 8
by emna » Thu Dec 28, 2017 9:30 am » in ARCH and GARCH Models

8 Replies

14411 Views

Last post by TomDoan
Thu Jan 11, 2018 1:10 pm
New post Restricted Trend IN VECM

Last post by alexecon « Tue Jan 09, 2018 9:34 am
Posted in VARs (Vector Autoregression Models)
Replies: 5
by alexecon » Tue Sep 05, 2017 9:57 am » in VARs (Vector Autoregression Models)

5 Replies

10399 Views

Last post by alexecon
Tue Jan 09, 2018 9:34 am
New post evaluation of forecasts under VAR

Last post by TomDoan « Fri Jan 05, 2018 9:33 am
Posted in VARs (Vector Autoregression Models)
Replies: 4
by sanjeev » Wed Aug 12, 2015 11:14 pm » in VARs (Vector Autoregression Models)

4 Replies

8608 Views

Last post by TomDoan
Fri Jan 05, 2018 9:33 am
New post Structural Breaks and Switching Models E-course, 2nd ed

Last post by TomDoan « Tue Jan 02, 2018 10:13 am
Posted in Course Announcements

by TomDoan » Tue Sep 06, 2011 3:07 pm » in Course Announcements

0 Replies

71039 Views

Last post by TomDoan
Tue Jan 02, 2018 10:13 am
New post Notes on BEKK and Triangular BEKK Models

Last post by TomDoan « Sun Dec 31, 2017 1:13 pm
Posted in ARCH and GARCH Models
Replies: 3
by Zankawa » Thu Dec 28, 2017 4:33 pm » in ARCH and GARCH Models

3 Replies

8294 Views

Last post by TomDoan
Sun Dec 31, 2017 1:13 pm
New post Correlation: VCV versus CMOM

Last post by TomDoan « Thu Dec 28, 2017 7:33 am
Posted in Help With Programming
Replies: 1
by schwa012 » Thu Dec 28, 2017 6:02 am » in Help With Programming

1 Replies

7552 Views

Last post by TomDoan
Thu Dec 28, 2017 7:33 am
New post Canova-Ciccarelli, Estimating Multi-country VAR Models

Last post by allister « Wed Dec 27, 2017 2:08 pm
Posted in Examples and Sample Code
Replies: 2
by allister » Wed Dec 27, 2017 1:09 pm » in Examples and Sample Code

2 Replies

6369 Views

Last post by allister
Wed Dec 27, 2017 2:08 pm
New post Plot of Option Delta over Time to Maturity

Last post by alexecon « Wed Dec 27, 2017 1:21 pm
Posted in Graphics, Reports, and Other Output
Replies: 6
by alexecon » Sat Dec 02, 2017 11:04 am » in Graphics, Reports, and Other Output

6 Replies

17478 Views

Last post by alexecon
Wed Dec 27, 2017 1:21 pm
New post spgraph different from excel

Last post by ege_man « Tue Dec 26, 2017 4:29 pm
Posted in Graphics, Reports, and Other Output
Replies: 2
by ege_man » Tue Dec 26, 2017 3:23 am » in Graphics, Reports, and Other Output

2 Replies

7075 Views

Last post by ege_man
Tue Dec 26, 2017 4:29 pm
New post Scatter with Real data

Last post by T_FIELD « Tue Dec 26, 2017 9:41 am
Posted in Graphics, Reports, and Other Output
Replies: 5
by T_FIELD » Wed Nov 22, 2017 8:27 pm » in Graphics, Reports, and Other Output

5 Replies

43167 Views

Last post by T_FIELD
Tue Dec 26, 2017 9:41 am
New post Skalin Terasvirta JAE 1999 (STAR models/Nonlinear Causality)

Last post by adrangi « Mon Dec 25, 2017 9:53 pm
Posted in Examples and Sample Code
Replies: 7
by TomDoan » Thu May 31, 2012 2:49 pm » in Examples and Sample Code

7 Replies

14516 Views

Last post by adrangi
Mon Dec 25, 2017 9:53 pm
New post How to compute confidence intervals for scaled impulses

Last post by TomDoan « Mon Dec 25, 2017 8:22 am
Posted in Help With Programming
Replies: 1
by RK2509 » Sat Dec 23, 2017 3:43 pm » in Help With Programming

1 Replies

6636 Views

Last post by TomDoan
Mon Dec 25, 2017 8:22 am
New post Using the VECH Model

Last post by TomDoan « Tue Dec 19, 2017 5:03 pm
Posted in ARCH and GARCH Models
Replies: 7
by Zankawa » Mon Dec 18, 2017 1:30 pm » in ARCH and GARCH Models

7 Replies

11040 Views

Last post by TomDoan
Tue Dec 19, 2017 5:03 pm
New post bry boschan procedure

Last post by terrya « Tue Dec 19, 2017 1:18 pm
Posted in RATS Procedures
Replies: 5
by terrya » Tue Dec 19, 2017 4:00 am » in RATS Procedures

5 Replies

9038 Views

Last post by terrya
Tue Dec 19, 2017 1:18 pm
New post question about %dlminit

Last post by tclark « Mon Dec 18, 2017 10:17 am
Posted in State Space Models/DSGE
Replies: 2
by tclark » Mon Dec 18, 2017 9:23 am » in State Space Models/DSGE

2 Replies

7275 Views

Last post by tclark
Mon Dec 18, 2017 10:17 am

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