programs to analyze large sets of time series This directory includes the program EDQts.R written by Peña, Tsay and Zamar to compute Empirical Dynamic Quantiles of High Dimensional time series and to plot them. The package EDQts.R also includes progams to generate HD VAR(1), VMA(1) and VGARCH(1,1). Please see the docEDQts.pdf file for details
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