DDMSVAR与MultiGARCH程序是由Matteo Maria Pelagatti所提供的ox语言,

适用于oxedit与givewin环境...以下为作者的原文说明：

DDMSVAR for Ox is a package for time series modeling with duration-dependent Markov-Switching Models.

MultiGARCH for Ox is a package for the estimation of Dynamic Conditional Correlation GARCH models

with elliptical conditional distributions as in Pelagatti (2004). Feel free to change and improve the code.

DDMSVAR

43934.rar
大小:(329.42 KB)

 马上下载

MultiGARCH

43935.rar
大小:(774.22 KB)

 马上下载

二种附件都有参考文献...

[此贴子已经被作者于2006-3-16 16:06:11编辑过]