Man pages for dccmidas
DCC Models with GARCH and GARCH-MIDAS Specifications in the Univariate Step, RiskMetrics, Moving Covariance and Scalar and Diagonal BEKK Models
| a_dcc_loglik | A-DCC log-likelihood (second step) |
| a_dcc_mat_est | Obtains the matrix H_t and R_t, under the A-DCC model |
| a_dccmidas_loglik | A-DCC-MIDAS log-likelihood (second step) |
| a_dccmidas_mat_est | Obtains the matrix H_t, R_t and long-run correlations, under... |
| bekk_fit | BEKK fit |
| cov_eval | Var-cov matrix evaluation |
| dBEKK_loglik | dBEKK log-likelihood |
| dBEKK_mat_est | dBEKK covariance matrix |
| dcc_fit | DCC fit (first and second steps) |
| dcc_loglik | cDCC log-likelihood (second step) |
| dcc_mat_est | Obtains the matrix H_t and R_t, under the cDCC model |
| dccmidas_loglik | DCC-MIDAS log-likelihood (second step) |
| dccmidas_mat_est | Obtains the matrix H_t, R_t and long-run correlations, under... |
| deco_loglik | DECO log-likelihood (second step) |
| deco_mat_est | Obtains the matrix H_t and R_t, under the DECO model |
| Det | Matrix determinant |
| ftse100 | FTSE 100 data |
| grapes-pow-grapes | Power of a matrix |
| indpro | Monthly U.S. Industrial Production |
| Inv | Inverse of a matrix |
| moving_cov | Moving Covariance model |
| nasdaq | NASDAQ data |
| plot_dccmidas | Plot method for 'dccmidas' class |
| print.dccmidas | Print method for 'dccmidas' class |
| QMLE_sd | Standard errors for the Quasi Maximum Likelihood estimator |
| riskmetrics_mat | RiskMetrics model |
| sBEKK_loglik | sBEKK log-likelihood |
| sBEKK_mat_est | sBEKK covariance matrix |
| sp500 | S&P 500 data |
| summary.dccmidas | Summary method for 'dccmidas' class |
