garch_enyem3.ox
Creators:
Carol Alexander
;
Emese Lazar
From the dataset abstract
Some recent specifications for GARCH error processes explicitly assume a conditional variance that is generated by a mixture of normal components, albeit with some parameter restrictions....
Source: Normal mixture GARCH(1,1): applications to exchange rate modelling (replication data)
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Metadata
| Field | Value |
|---|---|
| Format | ox |
| License | CC-BY 4.0 |
| URL | https://journaldata.zbw.eu/dataset/66a93d07-a4ef-40ae-bd42-672b442fcd74/resource/7c672bb8-7221-40ff-a1f2-665d9b70d634/download/garch_enyem3.ox |
| Last updated | November 15, 2022 |
| Created | November 15, 2022 |
