RATS programs to replicate Hansen's GARCH models with time-varying t-densities
AbstractReplication of Bruce Hansen (1994), "Autoregressive Conditional Density Estimation",International Economic Review, vol 35, no. 3, pp 705-730. This estimates GARCH models with student t errors with time-varying degrees of freedom, and introduces the skew-t density.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number RTZ00086.
Programming language: RATS
Requires: RATS 7.30
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