EconPapers    
Economics at your fingertips  
 

RATS programs to replicate Hansen's GARCH models with time-varying t-densities

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Replication of Bruce Hansen (1994), "Autoregressive Conditional Density Estimation",International Economic Review, vol 35, no. 3, pp 705-730. This estimates GARCH models with student t errors with time-varying degrees of freedom, and introduces the skew-t density.

Language: RATS
Requires: RATS 7.30
Keywords: ARCH-GARCH; with; student-t; errors (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See http://www.estima.com/ratsfiletypes.shtml
References: Add references at CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://www.estima.com/procs_perl/hansen_ier1994.zip (application/zip)

Related works:
Journal Article: Autoregressive Conditional Density Estimation (1994) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:boc:bocode:rtz00086

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics
Address: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Contact information at EDIRC.
Series data maintained by Christopher F Baum ().

 
Page updated 2014-09-27
Handle: RePEc:boc:bocode:rtz00086