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Laurent at el 2014) Computational Statistics & Data Analysis
Posted: Tue Apr 07, 2015 12:41 am
by irfanawan
Dear Tom,
I'm looking for the codes of paper entitled "Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach" proposed by Laurent, Lecourt and Palm (2014) Computational Statistics & Data Analysis available at
http://www.sciencedirect.com/science/ar ... 7314001650
Regards
Irfan
Re: Laurent at el 2014) Computational Statistics & Data Anal
Posted: Sun Apr 12, 2015 11:37 am
by TomDoan
The authors don't include any footnote as to what they used to do the calculations---I'm assuming it's Ox, since Laurent does a GARCH package in Ox. However, I don't find it a particularly interesting model---it's ARMA-GARCH with additive one-shot outliers to the mean that don't interact with either the ARMA or the GARCH process. So a spike has no effect on the variance going forward, which seems quite unrealistic.
Re: Laurent at el 2014) Computational Statistics & Data Anal
Posted: Sat Jan 02, 2016 3:46 am
by irfanawan
Dear Tom,
From where I can get the codes of this methods
Regards, Irfan
Re: Laurent at el 2014) Computational Statistics & Data Anal
Posted: Sat Jan 02, 2016 9:32 am
by TomDoan
Have you contacted the authors?
Re: Laurent at el 2014) Computational Statistics & Data Anal
Posted: Sat Jan 02, 2016 9:45 am
by irfanawan
TomDoan wrote:Have you contacted the authors?
Yes I have sent an emails to the authors of this paper but no response from all these researchers