Robust_cDCC: Robust cDCC Estimator
In ctruciosm/Robpvc: Robust Principal Volatility Components
Robust_cDCC R Documentation
Robust cDCC Estimator
Description
Robust cDCC estimator of Boud et al. (2013) with the modification introduced by Trucíos et at. (2018).
Usage
Robust_cDCC(r)
Arguments
r
Matrix of time series returns.
Details
More details can be found in Boudt et al. (2013) and Trucíos et at. (2018).
Value
The function returns the estimated parameters and the Qbar matrix.
Author(s)
Carlos Trucíos
References
Boudt, Kris, Jon Danielsson, and Sébastien Laurent. Robust forecasting of dynamic conditional correlation GARCH models. International Journal of Forecasting 29.2 (2013): 244-257.
Trucíos, Carlos, Luiz K. Hotta, and Esther Ruiz. Robust bootstrap densities for dynamic conditional correlations: implications for portfolio selection and Value-at-Risk. Journal of Statistical Computation and Simulation 88.10 (2018): 1976-2000.
Examples
# Estimating the parameters of the cDCC model in a robust way.
cDCC = Robust_cDCC(toyexampledata[,1:3])
#parameters
cDCC[[1]]
#Qbar
cDCC[[2]]
ctruciosm/Robpvc documentation built on July 27, 2022, 10:22 p.m.
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| Robust_cDCC | R Documentation |
Robust cDCC Estimator
Description
Robust cDCC estimator of Boud et al. (2013) with the modification introduced by Trucíos et at. (2018).
Usage
Robust_cDCC(r)
Arguments
r |
Matrix of time series returns. |
Details
More details can be found in Boudt et al. (2013) and Trucíos et at. (2018).
Value
The function returns the estimated parameters and the Qbar matrix.
Author(s)
Carlos Trucíos
References
Boudt, Kris, Jon Danielsson, and Sébastien Laurent. Robust forecasting of dynamic conditional correlation GARCH models. International Journal of Forecasting 29.2 (2013): 244-257.
Trucíos, Carlos, Luiz K. Hotta, and Esther Ruiz. Robust bootstrap densities for dynamic conditional correlations: implications for portfolio selection and Value-at-Risk. Journal of Statistical Computation and Simulation 88.10 (2018): 1976-2000.
Examples
# Estimating the parameters of the cDCC model in a robust way. cDCC = Robust_cDCC(toyexampledata[,1:3]) #parameters cDCC[[1]] #Qbar cDCC[[2]]
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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