Authors and guest post by Eren Ocakverdi
This blog piece intends to introduce a new add-in (i.e. LOCALLINEAR) that estimates local linear trends via Kalman filter.
Monday, August 12, 2024
Monday, August 5, 2024
Thursday, August 1, 2024
Friday, February 9, 2024
Generalized Autoregressive Score (GAS) approach to univariate GARCH Models
Authors and guest post by Eren Ocakverdi
This blog piece intends to introduce a new add-in (i.e. GASMODELU) that estimates selected univariate GARCH models within the Generalized Autoregressive Score (GAS) framework.
This blog piece intends to introduce a new add-in (i.e. GASMODELU) that estimates selected univariate GARCH models within the Generalized Autoregressive Score (GAS) framework.
Wednesday, November 29, 2023
Wednesday, September 27, 2023
Principal Component Analysis for Nonstationary Series
Authors and guest post by Eren Ocakverdi
This blog piece intends to introduce a new add-in (i.e. HXPRINCOMP) that implements the procedure developed by Hamilton and Xi (2022).
This blog piece intends to introduce a new add-in (i.e. HXPRINCOMP) that implements the procedure developed by Hamilton and Xi (2022).
Monday, September 11, 2023
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