vdR: Computing partial derivatives of the CCC matrix

Description Usage Arguments Value References

Description

This function computes partial derivatives of the CCC matrix with respect to its correlation coefficients.

Usage

1
   vdR(n)

Arguments

n

the number of dimension of the model

Value

a matrix of zeros and ones ( (N(N-1))/2 \times N^{2} )

References

Nakatani, T. and T. Ter\"asvirta (2009), “Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model”, Econometrics Journal, 12, 147-163.

Nakatani, T. and T. Ter\"asvirta (2008), “Appendix to Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model” Department of Economic Statistics, Stockholm School of Economics, available at http://swopec.hhs.se/hastef/abs/hastef0649.htm.



Search within the ccgarch package
Search all R packages, documentation and source code

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.