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MSGARCH_comp
Comparison of Markov-Switching GARCH models, namely symmetric GARCH, EGARCH, GJR-GARCH, performances in Value-at-Risk forecasting.
n4tg's Repositories
n4tg/MSGARCH_comp
Comparison of Markov-Switching GARCH models, namely symmetric GARCH, EGARCH, GJR-GARCH, performances in Value-at-Risk forecasting.
n4tg/hello-world
Starting with GitHub