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| Robust garch estimation [ Reply ] By: Kris Boudt on 2007-11-17 12:22 | [forum:256] |
| I asked Diethelm Wuertz whether we could add a "be robust" option to the estimation methods in his fGarch package. His answer was very positive: "I think it's a good idea to enhance time series modelling with robust estimation methods, and if it would become part of Rmetrics this would be a great thing. As you know, Rmetrics is open to new members who help to enhance and improve the Rmetrics packages." I will work on that. Best regards, Kris Boudt. | |
