Ancillary Results and Estimation Code for Dynamic Stock Market Covariances in the Eurozone
Connor, Gregory and Suurlaht, Anita (2012) Ancillary Results and Estimation Code for Dynamic Stock Market Covariances in the Eurozone. NUI Maynooth, NUI Maynooth.
This paper provides additional tables, estimation code and estimation output for the paper “Dynamic Stock Market Covariance in the Eurozone.” It should be read in conjunction with that paper. Some familiarity with RATS statistical programming language is necessary for understanding the estimation code and estimation output. This code may be useful for researchers doing empirical analysis involving GARCH, Midas-Garch, or DCC-Midas-Garch, particularly if they use RATS. The code could be translated with suitable modifications to other programming languages.
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