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).

AuthorJose A Fiorucci <jafioruci@gmail.com>, Ricardo S Ehlers <ehlers@icmc.usp.br>, Francisco Louzada <louzada@icmc.usp.br>
Date of publication2016-02-07 09:28:39
MaintainerJose A Fiorucci <jafioruci@gmail.com>
LicenseGPL (>= 2)
Version2.0
http://arxiv.org/abs/1412.2967

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Files in this package

bayesDccGarch
bayesDccGarch/src
bayesDccGarch/src/bayesDccGarch.c
bayesDccGarch/src/matrixOperations.h
bayesDccGarch/NAMESPACE
bayesDccGarch/data
bayesDccGarch/data/DaxCacNik.txt.gz
bayesDccGarch/R
bayesDccGarch/R/densityFunctions.R bayesDccGarch/R/mainFunctions.R
bayesDccGarch/MD5
bayesDccGarch/DESCRIPTION
bayesDccGarch/ChangeLog
bayesDccGarch/man
bayesDccGarch/man/DaxCacNik.Rd bayesDccGarch/man/plotVol.Rd bayesDccGarch/man/bayesDccGarch.Rd bayesDccGarch/man/logLikDccGarch.Rd bayesDccGarch/man/bayesDccGarch-package.Rd bayesDccGarch/man/densityFunctions.Rd bayesDccGarch/man/plot.bayesDccGarch.Rd

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