Sorry, the double-post was not intended. I thought it didn't come through
since I wrote the first mail before registering on the ml.

I will show you what I've got so far as I come home. Thanks for your help so
far.

Johannes

On Fri, Feb 18, 2011 at 11:57 AM, Yohan Chalabi <chalabi@phys.ethz.ch>wrote:

> Hi Johannes,
>
> You can start with the code I sent you on R-help
> https://stat.ethz.ch/pipermail/r-help/2011-February/268953.html and
>
>  * add the definition of skewness and kurtosis in the likelihood function
>  * modify the conditional variance as defined in the paper
>  * replace the normal probability function by the one defined in the paper.
>
> You might get more help if you show us what you have tried.
>
> HTH,
> Yohan
>
> On Feb 18, 2011, at 11:05 AM, Johannes Lips wrote:
>
> > Hello,
> >
> > I'm quite new to R but tried to learn as much as possible in the last
> > few months.
> > My problem is that I would like to estimate the model of Leon et al.
> (2005).
> > I have shortly summarised the most important equations in the following
> > pdf file:
> > http://hannes.fedorapeople.org/leon2005.pdf
> >
> > My main question is now how could I introduce these two additional terms
> > into the Likelihood function of a(n) (existing) GARCH method.
> >
> > I looked into some GARCH packages but wasn't really sure where to start.
> > I know that this is not really an easy task but I would be very grateful
> > if you could help me out by giving me some hints on how to solve this
> > problem.
> >
> > Thanks in advance!
> >
> > Johannes Lips
> >
> > P.S. I sent this e-mail also to the R-help mailing list but was told I
> > should better send it to the finance-sig.
> > https://stat.ethz.ch/pipermail/r-help/2011-February/268871.html
> >
> >       [[alternative HTML version deleted]]
> >
> > _______________________________________________
> > R-SIG-Finance@r-project.org mailing list
> > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> > -- Subscriber-posting only. If you want to post, subscribe first.
> > -- Also note that this is not the r-help list where general R questions
> should go.
> >
>
> --
> PhD candidate
> Swiss Federal Institute of Technology
> Zurich
>
> www.ethz.ch
>
>

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