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Connor, Gregory and Suurlaht, Anita (2012) Ancillary Results and Estimation Code for Dynamic Stock Market Covariances in the Eurozone. NUI Maynooth, NUI Maynooth. (Unpublished)
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Abstract
This paper provides additional tables, estimation code and estimation output for the paper “Dynamic Stock Market Covariance in the Eurozone.” It should be read in conjunction with that paper. Some familiarity with RATS statistical programming language is necessary for understanding the estimation code and estimation output. This code may be useful for researchers doing empirical analysis involving GARCH, Midas-Garch, or DCC-Midas-Garch, particularly if they use RATS. The code could be translated with suitable modifications to other programming languages.
| Item Type: | Other |
|---|---|
| Keywords: | Stock Market Covariances; Eurozone; |
| Academic Unit: | Faculty of Social Sciences > Economics, Finance and Accounting |
| Item ID: | 3749 |
| Identification Number: | N223-12 |
| Depositing User: | Ms Sandra Doherty |
| Date Deposited: | 12 Jun 2012 14:56 |
| Publisher: | NUI Maynooth |
| Funders: | SFI |
| URI: | https://mural.maynoothuniversity.ie/id/eprint/3749 |
| Use Licence: | This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available here |
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