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Financial analysis package for GAUSS

Author

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  • P. S. Sephton

    (Department of Economics, University of New Brunswick, Fredericton, New Brunswick, Canada E3B 5A3)

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Suggested Citation

  • P. S. Sephton, 2000. "Financial analysis package for GAUSS," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(4), pages 433-438.
    • Handle: RePEc:jae:japmet:v:15:y:2000:i:4:p:433-438
    as

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    File URL: http://qed.econ.queensu.ca:80/jae/2000-v15.4/
    File Function: Supporting data files and programs
    Download Restriction: no
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    References listed on IDEAS

    as
    1. Bollerslev, Tim & Engle, Robert F & Wooldridge, Jeffrey M, 1988. "A Capital Asset Pricing Model with Time-Varying Covariances," Journal of Political Economy, University of Chicago Press, vol. 96(1), pages 116-131, February.
    2. Schoenberg, Ronald, 1997. "Constrained Maximum Likelihood," Computational Economics, Springer;Society for Computational Economics, vol. 10(3), pages 251-266, August.
    3. Fiorentini, Gabriele & Calzolari, Giorgio & Panattoni, Lorenzo, 1996. "Analytic Derivatives and the Computation of GARCH Estimates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(4), pages 399-417, July-Aug..
    4. Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(1), pages 122-150, February.
    5. Nelson, Daniel B & Cao, Charles Q, 1992. "Inequality Constraints in the Univariate GARCH Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(2), pages 229-235, April.
    6. Bollerslev, Tim & Ghysels, Eric, 1996. "Periodic Autoregressive Conditional Heteroscedasticity," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(2), pages 139-151, April.
    7. repec:cup:etheor:v:11:y:1995:i:1:p:122-50 is not listed on IDEAS
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