<t>Hi everyone,as g.o.f test I'm trying to use Kolmogorv-Smirnov test (tests the uniformity of the created conditional variables). Here's the problem for a d-dimensional data set I have to calculate d-1 partial derivatives of the multivariate student-t copula and I don't know how to do that. Any sug...

<t>Hi everyone,I'm trying to do some multiperiod forecasting with an egarch model. Tsay explains in his book "Analysis of Financial Time Series" a method which relies upon the distribution used for fitting the model. But Zivot mentioned in an article ("Practical Issues in univariate GARCH modeling, ...

<t>Hi everyone,I'm trying to do some multiperiod forecasting with an egarch model. Tsay explains in his book "Analysis of Financial Time Series" a method which relies upon the distribution used for fitting the model. But Zivot mentioned in an article ("Practical Issues in univariate GARCH modeling, ...

<t>Hi everyone,I'm trying to do some multiperiod forecasting with an egarch model. Tsay explains in his book "Analysis of Financial Time Series" a method which relies upon the distribution used for fitting the model. But Zivot mentioned in an article ("Practical Issues in univariate GARCH modeling, ...

<t>Hi,I'm trying to estimate the AGDCC-model of Cappiello et al (2006) for a multi-asset portfolio. My results (the agdccparamters) seems quite strange and I wonder if I'm missing some constraints on the parameters. In their paper Cappiello et al mention just a constraint concerning the positive def...

<t>Hi,I'm trying to extend Engle's DDC to the AGDCC of Cappiello,Engle and Sheppard in matlab (using Sheppards DCC toolbox). The extension from DCC to ADCC works pretty fine. But next step to AGDCC (estimating specific parameters for every asset) I always get wrong results. Does anyone have already ...

<t>Hi,I would like to estimate an multivariate (G)ARCH model by maximum likelihood. Instead of using the normal distribution I would like to use a multivariate version of the generalized error distribtution (the univariate one was used by Nelson in his EGARCH approach). Does anyone know where I can ...

<t>Hi everyone,I have a question regarding quasi maximum likelihood estimation in garch models.I know asymptotic properties are established for the conditional normal case and I have to use robust standard errors, e.g. Bollerslev & Wooldridge, White etc. So far so good.Here comes the question:Is...