




|
Christos S. Savva’s Site |
|
Research |
|
Research interests: Nonlinear time series models, Financial econometrics, Business cycle modelling, GARCH and volatility models, Productivity and Efficiency. |
|
- Bivariate BEKK model procedure. Code |
|
-Simple Dynamic Conditional Correlation model (Engle, 2002). Code |
|
(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) |
|
- GARCH simulation procedure. Code |
|
|
|
|
|
|