Blar i Handelshøyskolen BI på tidsskrift "The R Journal"

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    • betategarch: simulation, estimation and forecasting of first-order Beta-Skew-t-EGARCH models 

      Sucarrat, Genaro (Journal article; Peer reviewed, 2013)
      This paper illustrates the usage of the betategarch package, a package for the simulation, estimation and forecasting of Beta-Skew-t-EGARCH models. The Beta-Skew-t-EGARCH model is a dynamic model of the scale or volatility ...

    • garchx: Flexible and Robust GARCH-X Modeling 

      Sucarrat, Genaro (Peer reviewed; Journal article, 2021)
      The garchx package provides a user-friendly, fast, flexible, and robust framework for the estimation and inference of GARCH(p, q, r)-X models, where p is the ARCH order, q is the GARCH order, r is the asymmetry or leverage ...

    • User-Specified General-to-Specific and Indicator Saturation Methods 

      Sucarrat, Genaro (Journal article; Peer reviewed, 2020)
      Abstract General-to-Specific (GETS) modelling provides a comprehensive, systematic and cumulative approach to modelling that is ideally suited for conditional forecasting and counterfactual analysis, whereas Indicator ...