BAUWENS_LAURENT_JBES2005: RATS program to replicate Bauwens and Laurent(2005) Multivariate skew-t GARCH model

Tom Doan ()
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Tom Doan: Estima

Statistical Software Components from Boston College Department of Economics

Abstract: Replication file for Bauwens and Laurent(2005), "A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models," JBES, vol 23, 346-354.

Language: RATS
Requires: RATS 8.00
Keywords: ARCH-GARCH; Skew-t Density (search for similar items in EconPapers)
Date: 2025-12-29
Note: RPF and SRC files are plain text. See https://estima.com/ratsfiletypes.shtml
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Citations:

Downloads: (external link)
https://estima.com/procedures/bauwens_laurent_jbes2005.zip (application/zip)

Related works:
Journal Article: A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models (2005)
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