Displaying 3 results from an estimated 3 matches for "subprim".
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2011 May 12
2
DCC-GARCH model and AR(1)-GARCH(1,1) regression model
...uld be it when it comes to DCC-GARCH.
Now, using conditional correlation obtained from the DCC-GARCH model, I want
to test for structural shifts in conditional correlations. To be precise, I
want to test whether the conditional correlations significantly increase in
the turmoil period / during the Subprime crisis.
The regression model is AR(1)-GARCH(1,1), using a dummy variable specified
as:
*** the equations, you can find in the attachment ***
where the first equation is the conditional correlation among the two
indices during the Subprime crisis, Dt is a dummy variable for the turmoil
period...
2011 May 10
0
DCC-GARCH model and AR(1)-GARCH(1, 1) regression model - help needed..
...uld be it when it comes to DCC-GARCH.
Now, using conditional correlation obtained from the DCC-GARCH model, I want
to test for structural shifts in conditional correlations. To be precise, I
want to test whether the conditional correlations significantly increase in
the turmoil period / during the Subprime crisis.
The regression model is AR(1)-GARCH(1,1), using a dummy variable specified
as
where the first equation is the conditional correlation among the two
indices during the Subprime crisis, Dt is a dummy variable for the turmoil
period, and the second equation (hij,t) is the conditional varianc...
2016 Feb 24
5
Bitcoin for CentOS 7
On 02/24/2016 06:04 AM, m.roth at 5-cent.us wrote:
> Alice Wonder wrote:
>> For those interested I have a working spec file for Bitcoin 0.12.0
>>
>> https://github.com/AliceWonderMiscreations/bitcoin/blob/master/contrib/rpm/bitcoin.spec
>>
>> I believe the only BuildRequires that isn't in CentOS/EPEL is
>> miniupnpc-devel but that's trivial to build