by Patrick Burns.
Abstract: This brief note offers an explicit algorithm for a multivariate GARCH model, called PC-GARCH, that requires only univariate GARCH estimation. It is suitable for problems with hundreds or even thousands of variables. PC-GARCH is compared to two other techniques of getting multivariate GARCH using univariate estimates.
jun 25, 26
The function in question is scriptSearch. I’m not much for superlatives — ”most” and ”best” imply one dimension, but we live in a multi-dimensional world. I’m making an exception. The [...]
jun 25, 26
I recently gave a talk at the R in Finance conference in which I introduced the marketAgent package for R. Here is the source for the package if you'd like [...]
jun 25, 26
Executive summary Surprisingly good. And it’s not like my expectations were especially low. Structure There are 20 chapters. I mostly like the chapters and their order. Hadley breaks the 20 chapters [...]