School of Finance, Anhui University of Finance and Economics, Bengbu, China In this paper, we propose the realized EGARCH model with jumps (hereafter REGARCH-Jump model) to model and forecast the ...

Specification Curve is a Python package that performs specification curve analysis: exploring how a coefficient varies under multiple different specifications of a statistical model.

The MFE (Financial Econometrics) Toolbox is a comprehensive suite of Python modules designed for modeling financial time series and conducting advanced econometric analyses. While retaining its legacy ...

CGR’s collective contribution to theoretical and empirical research is evidenced by publications in high quality journals in economics and management, including the Review of Economics and Statistics, ...