Wake me up before you GO-GARCH

In this paper we present a new three-step approach to the estimation of Generalized Orthogonal GARCH (GO-GARCH) models, as proposed by van der Weide (2002). The approach only requires (non-linear) least-squares methods in combination with univariate GARCH estimation, and as such is computationally attractive, especially in largerdimensional systems, where a full likelihood optimization is often infeasible. The eï¬~@ectiveness of the method is investigated using Monte Carlo simulations as well as a number of empirical applications.

E&F Chaos: a user friendly software package for nonlinear economic dynamics

The use of nonlinear dynamic models in economics and finance has expanded rapidly in the last two decades. Numerical simulation is crucial in the investigation of nonlinear systems. E&F Chaos is an easy-to-use and freely available software package for simulation of nonlinear dynamic models to investigate stability of steady states and the presence of periodic orbits and chaos by standard numerical simulation techniques such as time series, phase plots, bifurcation diagrams, Lyapunov exponent plots, basin boundary plots and graphical analysis. The package contains many well-known nonlinear models, including applications in economics and finance, and is easy to use for non-specialists. New models and extensions or variations are easy to implement within the software package without the use of a compiler or other software. The software is demonstrated by investigating the dynamical behavior of some simple examples of the familiar cobweb model, including an extension with heterogeneous agents and asynchronous updating of strategies. Simulations with the E&F chaos software quickly provide information about local and global dynamics and easily lead to challenging questions for further mathematical analysis.

Wake me up before you GO-GARCH

In this paper we present a new three-step approach to the estimation of Generalized Orthogonal GARCH (GO-GARCH) models, as proposed by van der Weide (2002). The approach only requires (non-linear) least-squares methods in combination with univari-ate GARCH estimation, and as such is computationally attractive, especially in larger-dimensional systems, where a full likelihood optimization is often infeasible. The effective-ness of the method is investigated using Monte Carlo simulations as well as a number of empirical applications.

Schone mais met eg of schoffel en een beetje middel

Als rekening wordt gehouden met specifieke omstandigheden kan het middelengebruik nog verder terug