Abstract: Considering time-varying transition probability (TVTP), this article combines Markov regime switching with a dynamic conditional correlation generalized autoregressive conditional ...
An R package for estimating GARCH-MIDAS (MIxed-DAta-Sampling) models (Engle, Ghysels and Sohn, 2013, doi:10.1162/REST_a_00300) and related statistical inference ...
Within each content area, there are one or more tutorials. Each tutorial consists of lessons. Each lesson should be a page detailing the concept being taught, along with sample code. Lesson and page ...
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