<r>for beginning, you have the thesis of Andrew Patton (see "research") : <URL url="http://fmg.lse.ac.uk/~patton/for">http://fmg.lse.ac.uk/~patton/for</URL> goodness-if-fit, this little survey is useful : <URL url="http://www.danielberg.no/publications/CopulaGOF.pdfand">http://www.danielberg.no/publ...
I've Jstor and Econlit but i cannot succed to find this reference : Engle, Robert and Joseph Mezrich, (1996) "GARCH for Groups," Risk August, Vol. 9, No. 8: pp 36-40.Have anybody got this reference (pdf, ps or even djvu) ?many thanks,
I've Jstor and Econlit but i cannot succed to find this reference : Engle, Robert and Joseph Mezrich, (1996) "GARCH for Groups," Risk August, Vol. 9, No. 8: pp 36-40.Have anybody got this reference (pdf, ps or even djvu) ?many thanks,
<r>a useful survey on MV-GARCH :<URL url="http://www.core.ucl.ac.be/econometrics/Bauwens/Papers/2003-31-JAEfinal.pdfand"><LINK_TEXT text="http://www.core.ucl.ac.be/econometrics/ ... nal.pdfand">http://www.core.ucl.ac.be/econometrics/Bauwens/Papers/2003-31-JAEfinal.pdfand</LINK_TEXT></URL> the great ...
<t>of course!i'm in PhD and currently working on the asian crisis. I need the interest rates in order to calculate the correlations of the differencial interest rate/exchange rate (with a mixing of markov switching model and DCC-MVGARCH). I have the data for the exchange rates but not the interest r...
<t> Could anyone give me the Bloomberg 's ticker code for the for the daily lending (interest-) rate of the followig country : - Hong-Kong - Singapore - South Korea - taiwan - Malaysia - Indonesia - Philippines - Thailand This is going to help me do some important work but I'm in difficulty to get t...