Search found 2 matches
- Wed Jan 06, 2016 1:56 pm
- Forum: RATS Procedures
- Topic: Clark-McCracken test
- Replies: 6
- Views: 14267
Re: Clark-McCracken test
Is the "ENC-F" test from the program output the same as "ENC-NEW" in Clark and McCracken (2001 Journal of Econometrics)? "MSE-t" the same as the Diebold and Mariano (1995) test? Is the program code of Clark and West (2007) "Approximately normal tests for equal pred...
- Sun Nov 24, 2013 10:57 am
- Forum: Examples and Sample Code
- Topic: Chan & Maheu, JBES 2002 (Jump GARCH model)
- Replies: 34
- Views: 98175
Jump GARCH model
Hi Tom,
Can you modify the program of Chan and Maheu (2002 JBES) to Maheu and McCurdy (2004 Journal of Finance "News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns" Vol. 59, pp.755-793.
Ray
Thanks.
Can you modify the program of Chan and Maheu (2002 JBES) to Maheu and McCurdy (2004 Journal of Finance "News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns" Vol. 59, pp.755-793.
Ray
Thanks.