Christos S. Savva's site

Various GAUSS Codes

- Bivariate BEKK model procedure. Code

- Simple Dynamic Conditional Correlation model (Engle, 2002). Code

- GARCH simulation procedure. Code

- STAR code used for the paper "Short-Horizon Event Study Estimation with a STAR Model and Real Contaminated Events".

- Replication Codes for the paper "Skewness and the Relation between Risk and Return".

- Replication Codes for the paper "The Risk and Return Conundrum Explained: International Evidence"

- Replication Codes for the paper "Freight Rates in Downside and Upside Markets: Pricing of Own and Spillover Risk from Other Shipping Segments in the Presence of Skewness"

- Replication Codes for the paper " Replication of Grier, Henry, Olekalns and Shields (2004) the Asymmetric Effects of Uncertainty on Inflation and Output Growth".