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 A Fiorucci <>, Ricardo S Ehlers <>, Francisco Louzada <>
MaintainerJose A Fiorucci <>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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bayesDccGarch documentation built on May 2, 2019, 9:36 a.m.