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RATS programs to estimate multivariate stochastic volatility models

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  • Tom Doan

    ()
    (Estima)

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Abstract

Replication file for Harvey, Ruiz and Shepherd(1994), "Multivariate Stochastic Variance Models", Review of Economic Studies, vol 61, no. 2, pp 247-264. Includes programs for univariate and multivariate models.

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File URL: http://www.estima.com/procs_perl/harveyruizshephardrestud.zip
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Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number RTZ00093.

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Programming language: RATS
Requires: RATS 8.00
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Handle: RePEc:boc:bocode:rtz00093

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Related research

Keywords: Stochastic volatility; state-space models;

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