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New post VAR(1)-BEKK-GARCH(1,1) Model

Last post by TomDoan « Fri Jan 28, 2022 9:31 am
Posted in ARCH and GARCH Models
Replies: 47
by humyra » Sun Jun 11, 2017 7:23 am » in ARCH and GARCH Models
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47 Replies

302631 Views

Last post by TomDoan
Fri Jan 28, 2022 9:31 am
New post Beginner problems in DCC-GARCH

Last post by TomDoan « Thu Jan 27, 2022 8:31 am
Posted in ARCH and GARCH Models
Replies: 104
by juustone » Mon Jul 20, 2015 12:43 pm » in ARCH and GARCH Models
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104 Replies

1999651 Views

Last post by TomDoan
Thu Jan 27, 2022 8:31 am
New post Researchers dont discuss "magnitude of volatilityspillover"

Last post by curiousresearcher « Wed Jan 26, 2022 1:45 pm
Posted in ARCH and GARCH Models
Replies: 2
by curiousresearcher » Mon Jan 10, 2022 11:28 pm » in ARCH and GARCH Models

2 Replies

43590 Views

Last post by curiousresearcher
Wed Jan 26, 2022 1:45 pm
New post Recursive VECM

Last post by ac_1 « Wed Jan 26, 2022 5:32 am
Posted in VARs (Vector Autoregression Models)
Replies: 1
by ac_1 » Sun Jan 23, 2022 3:13 am » in VARs (Vector Autoregression Models)

1 Replies

47124 Views

Last post by ac_1
Wed Jan 26, 2022 5:32 am
New post NEURAL NETWORKS TIME SERIES FORECAASTING

Last post by PeterF « Mon Jan 24, 2022 1:51 pm
Posted in Other Time Series Analysis
Replies: 1
by curiousresearcher » Sat Jan 22, 2022 11:52 pm » in Other Time Series Analysis

1 Replies

49515 Views

Last post by PeterF
Mon Jan 24, 2022 1:51 pm
New post converting daily data series to weekly

Last post by jack « Thu Jan 20, 2022 2:01 pm
Posted in Data: Reading, Writing, Transforming
Replies: 2
by jack » Thu Jan 20, 2022 3:23 am » in Data: Reading, Writing, Transforming

2 Replies

42828 Views

Last post by jack
Thu Jan 20, 2022 2:01 pm
New post factor loadings with for principal components

Last post by TomDoan « Mon Jan 17, 2022 2:31 pm
Posted in Looking for Code?
Replies: 1
by akk » Fri Jan 14, 2022 1:40 pm » in Looking for Code?

1 Replies

44066 Views

Last post by TomDoan
Mon Jan 17, 2022 2:31 pm
New post quantile function: binomial

Last post by TomDoan « Mon Jan 17, 2022 1:02 pm
Posted in General Econometrics
Replies: 3
by ac_1 » Mon Jan 17, 2022 5:43 am » in General Econometrics

3 Replies

54179 Views

Last post by TomDoan
Mon Jan 17, 2022 1:02 pm
New post Problem with reading Excel file

Last post by willeyt « Thu Dec 30, 2021 10:24 am
Posted in Data: Reading, Writing, Transforming
Replies: 2
by PeterF » Fri Oct 08, 2021 11:50 am » in Data: Reading, Writing, Transforming

2 Replies

44681 Views

Last post by willeyt
Thu Dec 30, 2021 10:24 am
New post Error message dfunit

Last post by TomDoan « Wed Dec 29, 2021 2:54 pm
Posted in Other RATS Usage Questions
Replies: 1
by Gilbril » Wed Dec 29, 2021 8:23 am » in Other RATS Usage Questions

1 Replies

57702 Views

Last post by TomDoan
Wed Dec 29, 2021 2:54 pm
New post Help with Labelling-please

Last post by Ozmando « Fri Dec 24, 2021 7:48 am
Posted in Graphics, Reports, and Other Output
Replies: 2
by Ozmando » Thu Dec 23, 2021 2:38 am » in Graphics, Reports, and Other Output

2 Replies

43035 Views

Last post by Ozmando
Fri Dec 24, 2021 7:48 am
New post Cross sectional dependency in panel data

Last post by nverma « Fri Dec 10, 2021 3:45 am
Posted in Panel Data
Replies: 1
by nverma » Tue Nov 30, 2021 7:56 am » in Panel Data

1 Replies

41307 Views

Last post by nverma
Fri Dec 10, 2021 3:45 am
New post Sharpe's Returns Based Style Analysis

Last post by TomDoan « Tue Dec 07, 2021 12:59 pm
Posted in Examples and Sample Code
Replies: 2
by vmadhavan » Tue Dec 07, 2021 4:37 am » in Examples and Sample Code

2 Replies

9860 Views

Last post by TomDoan
Tue Dec 07, 2021 12:59 pm
New post VAR BEKK AND DCC

Last post by jimm306 « Wed Dec 01, 2021 1:58 am
Posted in ARCH and GARCH Models

by jimm306 » Wed Dec 01, 2021 1:58 am » in ARCH and GARCH Models

0 Replies

41278 Views

Last post by jimm306
Wed Dec 01, 2021 1:58 am
New post Half Life and IRF's

Last post by ag_2018 « Wed Nov 17, 2021 11:12 am
Posted in Looking for Code?

by ag_2018 » Wed Nov 17, 2021 11:12 am » in Looking for Code?

0 Replies

41541 Views

Last post by ag_2018
Wed Nov 17, 2021 11:12 am
New post Panel GARCH? (Cermeno and Grier, 2006)

Last post by MartaAC « Tue Nov 16, 2021 8:14 am
Posted in ARCH and GARCH Models
Replies: 61
by ksvirydzenka » Mon Jun 07, 2010 10:06 am » in ARCH and GARCH Models
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61 Replies

362035 Views

Last post by MartaAC
Tue Nov 16, 2021 8:14 am
New post Sort strings based on certain values

Last post by TomDoan « Thu Nov 04, 2021 1:20 pm
Posted in Help With Programming
Replies: 1
by varcabic » Mon Oct 25, 2021 4:55 am » in Help With Programming

1 Replies

51536 Views

Last post by TomDoan
Thu Nov 04, 2021 1:20 pm
New post Replication of Smets and Wouters (2007)

Last post by adrangi « Sat Oct 23, 2021 1:06 pm
Posted in State Space Models/DSGE
Replies: 9
by BinhPham » Tue Feb 14, 2017 2:25 pm » in State Space Models/DSGE

9 Replies

69065 Views

Last post by adrangi
Sat Oct 23, 2021 1:06 pm
New post Style

Last post by TomDoan « Fri Oct 22, 2021 2:59 pm
Posted in Graphics, Reports, and Other Output
Replies: 9
by msrahman » Tue Oct 19, 2021 4:50 pm » in Graphics, Reports, and Other Output

9 Replies

90150 Views

Last post by TomDoan
Fri Oct 22, 2021 2:59 pm
New post contingency table function

Last post by ac_1 « Fri Oct 22, 2021 2:21 am
Posted in Help With Programming

by ac_1 » Fri Oct 22, 2021 2:21 am » in Help With Programming

0 Replies

40807 Views

Last post by ac_1
Fri Oct 22, 2021 2:21 am
New post multiple conditions

Last post by TomDoan « Wed Oct 20, 2021 10:59 am
Posted in Help With Programming
Replies: 1
by akk » Sat Sep 25, 2021 8:22 am » in Help With Programming

1 Replies

44418 Views

Last post by TomDoan
Wed Oct 20, 2021 10:59 am
New post VAR BEKK GARCH (optimal weight, hedge ratio, and hedging)

Last post by TomDoan « Wed Oct 20, 2021 10:48 am
Posted in ARCH and GARCH Models
Replies: 1
by HamaNadia » Mon Oct 11, 2021 11:01 am » in ARCH and GARCH Models

1 Replies

40708 Views

Last post by TomDoan
Wed Oct 20, 2021 10:48 am
New post directional accuracy multistep ahead forecasts

Last post by TomDoan « Mon Oct 04, 2021 6:37 pm
Posted in Other Time Series Analysis
Replies: 7
by ac_1 » Tue Sep 28, 2021 4:25 am » in Other Time Series Analysis

7 Replies

75473 Views

Last post by TomDoan
Mon Oct 04, 2021 6:37 pm
New post MSSYSREGRESSION—Markov switching systems regression

Last post by TomDoan « Fri Sep 24, 2021 8:45 pm
Posted in RATS Procedures
Replies: 2
by TomDoan » Wed Sep 21, 2011 1:17 pm » in RATS Procedures

2 Replies

17396 Views

Last post by TomDoan
Fri Sep 24, 2021 8:45 pm
New post MSVARSetup—Markov switching support procedures

Last post by TomDoan « Fri Sep 24, 2021 8:44 pm
Posted in RATS Procedures
Replies: 14
by TomDoan » Wed Apr 04, 2018 11:53 am » in RATS Procedures

14 Replies

23314 Views

Last post by TomDoan
Fri Sep 24, 2021 8:44 pm

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