Time Varying Higher Moments - racd?
Since 2013 the development repository for my packages has moved (a couple of time). See: http://www.unstarched.net/r-downloads/ for latest details. -Alexios
On 27/05/2014 19:56, Joshua Ulrich wrote:
See p15 of the presentation. -- Joshua Ulrich | about.me/joshuaulrich FOSS Trading | www.fosstrading.com On Tue, May 27, 2014 at 1:54 PM, Mark Knecht <markknecht at gmail.com> wrote:
In this presentation: http://www.rinfinance.com/agenda/2013/talk/AlexiosGhalanos.pdf there is a bit of code on page 16 (and copied below) that loads a library called racd. I cannot seem to find racd. Can someone point me in the right direction? Thanks, Mark library(racd) library(rugarch) data(sp500ret) spec = acdspec(variance.model=list(model=?sGARCH?, variance.targeting=TRUE), distribution.model=list(model=?nig?,skewOrder=c(1,0,1), shapeOrder=c(1,1,1),skewmodel=?quad?,shapemodel=?pwl?)) mod = acdfit(spec, sp500ret, solver=?msoptim?,solver.control=list(restarts=5))
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