Blar i Scientific articles på tidsskrift "The R Journal"
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betategarch: simulation, estimation and forecasting of first-order Beta-Skew-t-EGARCH models
(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 ... -
User-Specified General-to-Specific and Indicator Saturation Methods
(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 ...