TaoussD/EbEEMGARCH: Estimating MGARCH(1,1) model equation by equation

Various tools to estimate MGARCH models such as CCC-diagonal CCC-semi diagonal Engle's & Aielli's DCC.

Getting started

Package details

AuthorD. Taouss & C. Francq
MaintainerDimitri Taouss <[email protected]>
LicenseWhat license is it under?
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
TaoussD/EbEEMGARCH documentation built on May 9, 2019, 4:18 p.m.