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FinMetrics: analysis of financial data in S-PLUS

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  • Ruud H. Koning

    (Department of Econometrics, University of Groningen, The Netherlands)

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File URL: http://hdl.handle.net/10.1002/jae.775
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File URL: http://qed.econ.queensu.ca:80/jae/2004-v19.2/
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Bibliographic Info

Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 19 (2004)
Issue (Month): 2 ()
Pages: 283-290

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Handle: RePEc:jae:japmet:v:19:y:2004:i:2:p:283-290

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  1. Brooks, Chris & Burke, Simon P. & Persand, Gita, 2001. "Benchmarks and the accuracy of GARCH model estimation," International Journal of Forecasting, Elsevier, vol. 17(1), pages 45-56.
  2. Bollerslev, Tim & Ghysels, Eric, 1996. "Periodic Autoregressive Conditional Heteroscedasticity," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(2), pages 139-51, April.
  3. Philip Hans Franses, 2001. "How to deal with intercept and trend in practical cointegration analysis?," Applied Economics, Taylor and Francis Journals, vol. 33(5), pages 577-579.
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