Bob, Is that a univariate version? I am interested on the multivariate gas model.
Thanks, Jun Sent from my iPad On Mar 9, 2014, at 3:08 AM, Robert A Yaffee <[email protected]> wrote: > Jun, > You may want to look for the model under the rubric of dynamic conditional > score model (a.k.a. Dysco), > which is the version of it that Andrew Harvey and Tirthankar Chakravarti > developed. > Cheers, > Bob Yaffee > > > On Sun, Mar 9, 2014 at 3:00 AM, Robert A Yaffee <[email protected]> wrote: >> Jun, >> The model is available in the OxMetrics version 7's G@RCH module. I >> haven't seen it in R yet. >> - Bob Yaffee >> >> >> >> On Sat, Mar 8, 2014 at 11:25 PM, jun wang <[email protected]> wrote: >>> 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. >> >> >> >> -- >> Bob Yaffee >> >> Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf >> >> CV: http://homepages.nyu.edu/~ray1/vita.pdf > > > > -- > Bob Yaffee > > Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf > > CV: http://homepages.nyu.edu/~ray1/vita.pdf [[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.
