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))