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).

Install the latest version of this package by entering the following in R:
install.packages("bayesDccGarch")
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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