Sample5minutes

<p>Ten hypothetical price series were simulated according to the factor diffusion process discussed in Barndorff-Nielsen et al.</p>

datasets

Allows the user to estimate a vector logistic smooth transition autoregressive model via maximum log-likelihood or nonlinear least squares. It further permits to test for linearity in the multivariate framework against a vector logistic smooth transition autoregressive model with a single transition variable. The estimation method is discussed in Terasvirta and Yang (2014, <doi:10.1108/S0731-9053(2013)0000031008>). Also, realized covariances can be constructed from stock market prices or returns, as explained in Andersen et al. (2001, <doi:10.1016/S0304-405X(01)00055-1>).

Andrea Bucci

starvars

Vector Logistic Smooth Transition Models Estimation and
Prediction

Giulio Palomba

Eduardo Rossi

Andrea Faragalli

Sample5minutes function

Format

Ten simulated prices series for 19 trading days in January 2010. — Sample5minutes

Ten simulated prices series for 19 trading days in January 2010.

Sample5minutes: Ten simulated prices series for 19 trading days in January 2010.

Description

Usage

Arguments

Format