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Christos S. Savva’s Site |
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Research |
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Research interests: Nonlinear time series models, Financial econometrics, Business cycle modelling, GARCH and volatility models, Productivity and Efficiency. |
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- Bivariate BEKK model procedure. Code |
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-Simple Dynamic Conditional Correlation model (Engle, 2002). Code |
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(Please note that in this code we use a procedure written by Dick van Dijk to find the appropriate VAR order. To print the results we employ a procedure written by Matias Eklof) |
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- GARCH simulation procedure. Code |
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