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Where can I find an implementation of models such as the ones described in Cermeño and Grier (2001)? This is particularly interesting to estimate risk-return relationships using cross country data.

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    $\begingroup$ Do you know of some other papers that have used the technique? Have you asked the authors themselves if they have some code? It might be that there simply is no package implementation that is readily available, so if nobody else can help you out, you might want to do that. I will follow this, it's very interesting for me, too :) $\endgroup$ – Jeremias K Jan 21 '16 at 13:23
  • $\begingroup$ I've actually found a paper from Lee (2010) that implemented such models. I've email them a long time ago but I did not get an answer. There are some codes using RATS here, but they do not add the garch in mean effect. I should also try to email the original authors. I have made some efforts to implement those models in R, but the optimization part is where i got stuck. $\endgroup$ – Regis A. Ely Jan 21 '16 at 13:41

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