Simon Broda
I can confirm that this breaks PythonTex, and that `pkg"pin [email protected]"` works around it. Any hope for a fix?
For anyone stumbling upon this: I have managed to install ParallelAccelerator on Windows 10. The basic steps are these: 1. In Julia REPL, do Pkg.add("ParallelAccelerator"). This will throw an error...
@lkuper OK, I've submitted a PR. @tkelman I agree that this is not a very elegant solution, but I'm afraid I'm not very good with bash scripts. Perhaps someone else...
That's indeed not possible. I agree it would be worth having though.
I do think that this package would be a natural place for realised GARCH to live. Indeed one would need to add the plumbing for a second observable in the...
In principle that should work, yes. The new `MeanSpec`, e.g., `GarchM`, would basically need to implement the `mean(at, ht, lht, data, meanspec::GarchM{T}, meancoefs, t) where {T}` appropriately. However, one might...
You may be right about ARMA models, but I could imagine that people in empirical asset pricing might want a regression specification (another `MeanSpec`) to go with the GARCH-M term?...
Thanks for the MWE! Unfortunately I haven't managed to fix this in general. In this particular example, you can do ``` using Optim using ARCHModels X = BG96[773:1272] fit(EGARCH{1,1,1}, X,...
That's certainly possible, though I feel that this is more flexibly handled on the user side. It's just a few lines of code really. There's an example for VaR backtesting...
Not at the moment, I'm afraid.