User Kondo

9 votes

1 answer

1k views

Why is the GARCH intercept supposed to be strictly positive?

asked May 31, 2016 at 18:40

3 votes

0 answers

1k views

'GARCH - extreme value theory - copula' approach to estimate risk measures in R

asked Jun 7, 2016 at 23:02

3 votes

1 answer

1k views

Forecasting conditional returns in DCC-GARCH-copula approach in R

asked Jun 10, 2016 at 14:59

3 votes

2 answers

2k views

Does the unconditional variance implied by a GARCH equal the sample variance?

asked May 17, 2016 at 14:50

2 votes

0 answers

144 views

Estimating time-varying tail dependence for Archimedean copulas

asked May 29, 2016 at 9:09

2 votes

1 answer

972 views

(Reproducible example) Conditional returns in GARCH-EVT-Copula context (with R)

asked Jun 9, 2016 at 22:36

2 votes

0 answers

72 views

False warning messages in R, is it possible?

asked Jun 12, 2016 at 23:18

2 votes

0 answers

342 views

Problems in computing VaR with GARCH-GPD-copula approach

asked Jun 19, 2016 at 14:26

2 votes

1 answer

142 views

Can I split my backtesting into multiple consecutive sub-periods?

asked Jul 5, 2016 at 21:10

2 votes

1 answer

92 views

Decreasing dependence during the financial crisis?

asked Sep 1, 2016 at 1:17

1 vote

2 answers

163 views

References for biased forecasts from EGARCH

asked Aug 6, 2016 at 18:08

1 vote

0 answers

313 views

Relationship between in-sample and out-sample periods length

asked Jun 12, 2016 at 12:45

1 vote

0 answers

699 views

How to choose a GARCH model which delivers iid standardized residuals?

asked May 2, 2016 at 11:52

1 vote

0 answers

316 views

How to write time-varying functions in R? Applied example

asked May 25, 2016 at 22:01

0 votes

1 answer

290 views

Is there a specific meaning to the word "convoluted" in maths or mathematical finance?

asked Aug 21, 2016 at 9:03

0 votes

1 answer

2k views

How to estimate an Engle's asymmetric DCC model in R?

asked Jul 19, 2016 at 22:29

-1 votes

1 answer

1k views

How to fit a skew normal/t copula to data?

asked Jul 14, 2016 at 16:55

Stack Exchange Network

17 Questions

Why is the GARCH intercept supposed to be strictly positive?

'GARCH - extreme value theory - copula' approach to estimate risk measures in R

Forecasting conditional returns in DCC-GARCH-copula approach in R

Does the unconditional variance implied by a GARCH equal the sample variance?

Estimating time-varying tail dependence for Archimedean copulas

(Reproducible example) Conditional returns in GARCH-EVT-Copula context (with R)

False warning messages in R, is it possible?

Problems in computing VaR with GARCH-GPD-copula approach

Can I split my backtesting into multiple consecutive sub-periods?

Decreasing dependence during the financial crisis?

References for biased forecasts from EGARCH

Relationship between in-sample and out-sample periods length

How to choose a GARCH model which delivers iid standardized residuals?

How to write time-varying functions in R? Applied example

Is there a specific meaning to the word "convoluted" in maths or mathematical finance?

How to estimate an Engle's asymmetric DCC model in R?

How to fit a skew normal/t copula to data?