vdR: Computing partial derivatives of the CCC matrix

In hoanguc3m/ccgarch: Conditional Correlation GARCH models

Description

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

Usage

   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.

hoanguc3m/ccgarch documentation built on May 29, 2019, 11:05 p.m.