ckls garch epd model
Posted: Tue Mar 01, 2011 9:59 am
Hi,
i've read the paper "Tail Return of Bear Stearn's Credit Default Swaps" in which it is estimated with the Markov chain Monte Carlo (MCMC) algorithm a discretized ckls model for the CDS serie of Bear Stearns with a GARCH model (to capture conditional heteroschedasticy) and an exponential power distribution (EPD) of the errors (to capture the jump component in the CDS spread).
does anyone know how to implement this in eviews 6?
thank you very much!!
i've read the paper "Tail Return of Bear Stearn's Credit Default Swaps" in which it is estimated with the Markov chain Monte Carlo (MCMC) algorithm a discretized ckls model for the CDS serie of Bear Stearns with a GARCH model (to capture conditional heteroschedasticy) and an exponential power distribution (EPD) of the errors (to capture the jump component in the CDS spread).
does anyone know how to implement this in eviews 6?
thank you very much!!