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Hi, Could anyone tell me how to estimate a Leon et al.(2005)'s GARCHSK (GARCH with Skewness and Kurtosis) model? And is there any programs? Thank you very much. Hsiao-nan Cheung Penghua Fund 2010/10/21
Sorry for no screen capture, but it really crashes here, and it's ok in R console... I don't know why...?? 2016-02-24 14:37 GMT+08:00 John Williams <john.b.williams at gmail.com>: > library(quantmod...
Hi, Does anyone read Verbeek's "A Guide to Modern Econometrics"? In its Section 4.11, how does the last two equations' HAC calculate? I've tried several groups of parameters in sandwich::NeweyWest, but I still cannot get the...
Hi, Does anyone read Verbeek's "A Guide to Modern Econometrics"? In its Section 4.11, how does the last two equations' HAC calculate? I've tried several groups of parameters in sandwich::NeweyWest, but I still cannot get the...
Hi, Recently I use Rdonlp2 to do a MLE of Markov-switching with TVTP, but during the optimization, there is always a "Error in solve.default(...) :?Lapack routine dgesv: system is exactly singular" error, what's wrong? When searching on...
Dear All, Sorry for my second question. When I use quantmod's chartSeries() function, the RStudio crashes. The code is as below. library(quantmod) getSymbols("IBM") chartSeries(IBM) Very simple code... And the same function is working well in Rgui...
Dear All, When I use quantmod's chartSeries() function, the RStudio crashes. The code is as below. library(quantmod) getSymbols("IBM") chartSeries(IBM) Very simple code... And the same function is working well in R Console (Rgui.exe), i.e...
Thanks, and are these book about traditional econometrics or time series? Maybe it's just a illusion to find some econometrics on finance without ts... HC > -----Original Message----- > From: markleeds at verizon.net [mailto:markleeds at verizon.net] > Sent: Monday...
Hi, That's a truly RStudio problem, since I've tested it in R console. So I'll resend it to RStudio Support and R mailing list to get a solution. Thank you any more. Yours, Hsiao-nan 2016-02...
Perhaps I should.... Now the example. Maybe I could specify my question more clearly. For example, a linear model is y = alpha + beta*x + epsilon, and this beta is not statistically significant. Then a non-linear model, e.g., y...
My students are mainly MBA students, and partially PhDs. The course title is 'Advanced Econometrics'. Although economic examples are okay, I prefer some examples on finance since this is their major. Next year they'll take a lecture named 'Time...
Maybe I should specify detailed contents of my class. It is CLRM's OLS, BLUE, Dummy Variables, Collinearity, Heteroscedasticity, Autocorrelation, IV, Dynamic Econometric Models and Simultaneous-Equations Models. What I need is relating them with financial application. And the educational...
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