goGARCHfilter-class: class: GO-GARCH Filter Class
Description
Class for the GO-GARCH filtered object.Objects from the Class
The class is returned by calling the function gogarchfilter and is
mainly called by gogarchfit when the out.sample option is
used.Extends
Class "mGARCHfilter", directly.
Class "GARCHfilter", by class "mGARCHfilter", distance 2.
Class "rGARCH", by class "mGARCHfilter", distance 3.References
de Athayde, G.M. and Flores Jr, R.G. 2002, On Certain Geometric Aspects of
Portfolio Optimisation with Higher Moments, mimeo.
Broda, S.A. and Paolella, M.S. 2009, CHICAGO: A Fast and Accurate Method for
Portfolio Risk Calculation, Journal of Financial Econometrics 7(4),
412--436 .
Paolella, M.S. 2007, Intermediate Probability - A Computational Approach,
Wiley-Interscience.
Schmidt, R., Hrycej, T. and Stutzle 2006, Multivariate distribution models with
generalized hyperbolic margins, Computational Statistics & Data Analysis
50(8), 2065-2096.