bayesDccGarch: The Bayesian Dynamic Conditional Correlation GARCH Model

Bayesian estimation of dynamic conditional correlation GARCH model for multivariate time series volatility (Fioruci, J.A., Ehlers, R.S. and Andrade-Filho, M.G., (2014). <doi:10.1080/02664763.2013.839635>.

Package details

AuthorJose Augusto Fiorucci [aut, cre, cph] (<https://orcid.org/0000-0002-1201-9089>), Ricardo Sanders Ehlers [aut, cph] (<https://orcid.org/0000-0001-9034-5173>), Francisco Louzada [aut, cph] (<https://orcid.org/0000-0001-7815-9554>)
MaintainerJose Augusto Fiorucci <jafiorucci@gmail.com>
LicenseGPL (>= 2)
Version2.2
URL https://ui.adsabs.harvard.edu/abs/2014arXiv1412.2967F/abstract
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("bayesDccGarch")

Try the bayesDccGarch package in your browser

Any scripts or data that you put into this service are public.

bayesDccGarch documentation built on April 7, 2021, 5:07 p.m.