R-universe - keeeeei0315 (keeeeei0315)

GARCHSK - Estimating a GARCHSK Model and GJRSK Model

Functions for estimating a GARCHSK model and GJRSK model based on a publication by Leon et,al (2005)<doi:10.1016/j.qref.2004.12.020> and Nakagawa and Uchiyama (2020)<doi:10.3390/math8111990>. These are a GARCH-type model allowing for time-varying volatility, skewness and kurtosis.

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1.60 score 4 stars 3 scripts 279 downloads

ksNN - K* Nearest Neighbors Algorithm

Prediction with k* nearest neighbor algorithm based on a publication by Anava and Levy (2016) <arXiv:1701.07266>.

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cpp

1.00 score 6 scripts 180 downloads

xdcclarge - Estimating a (c)DCC-GARCH Model in Large Dimensions

Functions for Estimating a (c)DCC-GARCH Model in large dimensions based on a publication by Engle et,al (2017) <doi:10.1080/07350015.2017.1345683> and Nakagawa et,al (2018) <doi:10.3390/ijfs6020052>. This estimation method is consist of composite likelihood method by Pakel et al. (2014) <http://paneldataconference2015.ceu.hu/Program/Cavit-Pakel.pdf> and (Non-)linear shrinkage estimation of covariance matrices by Ledoit and Wolf (2004,2015,2016). (<doi:10.1016/S0047-259X(03)00096-4>, <doi:10.1214/12-AOS989>, <doi:10.1016/j.jmva.2015.04.006>).

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1.00 score 7 scripts 198 downloads