Dear all,

Any of you have implemented Koopman's GAS model in R? I am writing code in
R trying to replicate the results of this paper:
*A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities
and Correlations*
I am having a hard time to get my code work. Any advice would be very
appreciated.

Thanks,
Jun

        [[alternative HTML version deleted]]

_______________________________________________
[email protected] mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only. If you want to post, subscribe first.
-- Also note that this is not the r-help list where general R questions should 
go.

Reply via email to