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 <[email protected]>, Ricardo S Ehlers <[email protected]>, Francisco Louzada <[email protected]>
MaintainerJose A Fiorucci <[email protected]>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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bayesDccGarch documentation built on May 30, 2017, 12:41 a.m.