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xdcclarge: Estimating a (c)DCC-GARCH Model in Large Dimensions
Functions for Estimating a (c)DCC-GARCH Model in large dimensions based on a publication by Engle et,al (2017) <doi:10.1080/07350015.2017.1345683> and Nakagawa et,al (2018) <doi:10.3390/ijfs6020052>. This estimation method is consist of composite likelihood method by Pakel et al. (2014) <http://paneldataconference2015.ceu.hu/Program/Cavit-Pakel.pdf> and (Non-)linear shrinkage estimation of covariance matrices by Ledoit and Wolf (2004,2015,2016). (<doi:10.1016/S0047-259X(03)00096-4>, <doi:10.1214/12-AOS989>, <doi:10.1016/j.jmva.2015.04.006>).
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Package details |
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| Author | Kei Nakagawa [aut, cre] (<https://orcid.org/0000-0001-5046-8128>), Mitsuyoshi Imamura [aut] |
| Maintainer | Kei Nakagawa <kei.nak.0315@gmail.com> |
| License | GPL (>= 2) |
| Version | 0.1.0 |
| Package repository | View on CRAN |
| Installation |
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