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RATS programs to replicate Hansen's GARCH models with time-varying t-densities
Tom Doan Statistical Software Components from Boston College Department of Economics
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.
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
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Downloads: (external link) http://www.estima.com/procs_perl/hansen_ier1994.zip (application/zip)
Related works: Journal Article: Autoregressive Conditional Density Estimation (1994) This item may be available elsewhere in EconPapers: Search for items with the same title.
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Persistent link: http://EconPapers.repec.org/RePEc:boc:bocode:rtz00086
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