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...
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| Autori principali: | , |
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| Natura: | Artigo |
| Lingua: | Inglês |
| Pubblicazione: |
Foundation for Open Access Statistics
2023-09-01
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| Serie: | Journal of Statistical Software |
| Accesso online: | https://www.jstatsoft.org/index.php/jss/article/view/4714 |
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