June 2018 Newsletter

RATS Newsletters

June 2018 Newsletter

Unread postby TomDoan » Tue Nov 20, 2018 1:16 pm

June 2018 Newsletter

  • Update to 2nd edition of the ARCH/GARCH Volatility course
  • "Diagnostics in Large Data Sets", describes the difficulty in getting a model to pass diagnostics in large (>1000 entry) data sets.
  • "Toda-Yamamoto Causality Test: A Cautionary Tale", looks at the (theoretically incorrect though widely used) alternative to Granger causality tests
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