compendia types: Published Papers(130) Journal or Magazine Articles(44) Working Papers(1) Problem Sets(1) Books(1)

research fields: Computer and Information Sciences(175) Statistics(2) Econometrics(2)

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Journal of Econometrics (2010)

John W. Galbraith, Dongming Zhu

This code estimates the parameters of an AST-NGARCH(1,1) model, which is a non-linear asymmetric NGARCH process of Engle and Ng where the conditional distribution of return is the Asymmetric Student-t distribution (AST) proposed by Zhu and Galbraith.

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