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] (<>), Ricardo Sanders Ehlers [aut, cph] (<>), Francisco Louzada [aut, cph] (<>)
MaintainerJose Augusto Fiorucci <>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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bayesDccGarch documentation built on April 7, 2021, 5:07 p.m.