Bruce E. Hansen
"Autoregressive conditional density estimation"
International Economic Review, (1994)

Program and Data Files

This program replicates the empirical work reported in the above paper.

The program estimates a Conditionally Heteroskedastic and Skewed Student T process.

Zip File of Gauss Programs and Data

Zip File of Matlab Programs and Data

Some of the above material is based upon work supported by the National Science Foundation under Grants No. SES-9022176, SES-9120576, SBR-9412339, and SBR-9807111. Any opinions, findings, and conclusions, or recommendations expressed in this material are those of the author(s), and do not necessarily reflect the views of the NSF.