Hansen IER 1994 Replication
Posted: Mon Nov 29, 2010 5:40 pm
This zip includes replication files for the models in Bruce Hansen(1994), "Autoregressive Conditional Density Estimation", International Economic Review, vol 35, no. 3, pp 705-730. This includes a GARCH-M model with t errors with time-varying degrees of freedom (in the term structure example) and a GARCH model with skew-t errors with time-varying shape and skewness parameters.