Laurent at el 2014) Computational Statistics & Data Analysis

[irfanawan]

Dear Tom,

I'm looking for the codes of paper entitled "Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach" proposed by Laurent, Lecourt and Palm (2014) Computational Statistics & Data Analysis available at http://www.sciencedirect.com/science/ar ... 7314001650

Regards
Irfan

[TomDoan]

The authors don't include any footnote as to what they used to do the calculations---I'm assuming it's Ox, since Laurent does a GARCH package in Ox. However, I don't find it a particularly interesting model---it's ARMA-GARCH with additive one-shot outliers to the mean that don't interact with either the ARMA or the GARCH process. So a spike has no effect on the variance going forward, which seems quite unrealistic.

[irfanawan]

Dear Tom,
From where I can get the codes of this methods

Regards, Irfan

[TomDoan]

Have you contacted the authors?

[irfanawan]

Have you contacted the authors?

Yes I have sent an emails to the authors of this paper but no response from all these researchers