ARCHModels.jl: Estimating ARCH Models in Julia
This paper introduces ARCHModels.jl, a package for the Julia programming language that implements a number of univariate and multivariate autoregressive conditional heteroskedasticity models. This model class is the workhorse tool for modeling the conditional volatility of financial assets. The dis...
Shranjeno v:
| Principais autores: | , |
|---|---|
| Format: | Artigo |
| Jezik: | Inglês |
| Izdano: |
Foundation for Open Access Statistics
2023-09-01
|
| Serija: | Journal of Statistical Software |
| Online dostop: | https://www.jstatsoft.org/index.php/jss/article/view/4714 |
| Oznake: |
Brez oznak, prvi označite!
|