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).

Author
Jose A Fiorucci <jafioruci@gmail.com>, Ricardo S Ehlers <ehlers@icmc.usp.br>, Francisco Louzada <louzada@icmc.usp.br>
Date of publication
2016-02-07 09:28:39
Maintainer
Jose A Fiorucci <jafioruci@gmail.com>
License
GPL (>= 2)
Version
2.0
URLs

View on CRAN

Man pages

bayesDccGarch
Bayesian Estimation of the DCC-GARCH(1,1) Model.
bayesDccGarch-package
bayesDccGARCH: Methods and tools for Bayesian analysis of...
DaxCacNik
Log-returns of daily indices of stock markets in Frankfurt,...
densityFunctions
Density functions of multivariate Standard Skew Norm,...
logLikDccGarch
The logarithm of likelihood function of DCC-GARCH(1,1) Model.
plot.bayesDccGarch
Plotting volatilities for Bayesian DCC-GARCH model
plotVol
Plotting volatilities of time series

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