G@RCH 2.0: An Ox Package for Estimating and Forecasting Various ARCH Models
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More about this item
Keywords(Density-) Forecasts; GARCH; Asymmetry; Long Memory; Ox; Econometric Software; Financial Time Series;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2001-05-02 (All new papers)
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