Brian,
I added references for 'forecast' and 'rugarch'. As for my script, It's a
'spagetti' without comments, which I can share privately.
Best, Alec
From: Brian G. Peterson
Sent: Monday, April 1, 2019 11:38 AM
To: Alec Schmidt; r-sig-finance@r-project.org
Alec,
Very interesting paper. Thanks for sharing the results of your
thoughts on this topic.
I note that you reference 'forecast' and 'rugarch' but do not place
them in your references. They should appear in your
bibliography. Also, it would be good if you could post the R code
somewhere so
Here is my piece about US equity market corrections:
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3362361
I'll greatly appreciate your comments.
Alec
From: Brian G. Peterson
Sent: Tuesday, January 8, 2019 11:55 AM
To: Alec Schmidt;
On Mon, 2019-04-01 at 13:56 +0300, Данир Зулькарнаев wrote:
> Could someone suggest any package to estimates parameters of skewed-t
> distribution?
> I didn't manage to find any.
>
My personal favorite for the skewed Student's-t distribution family is
the 'sn' package.
There is also the 'skewt'
Hi guys!
Could someone suggest any package to estimates parameters of skewed-t
distribution?
I didn't manage to find any.
Thanks!
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