Description Slots Extends Methods Author(s) References
The class is returned by calling the function cgarchsim
.
msim
:Object of class "vector"
multivariate simulation list.
Class "mGARCHsim"
, directly.
Class "GARCHsim"
, by class "mGARCHsim", distance 2.
Class "rGARCH"
, by class "mGARCHsim", distance 3.
signature(object = "cGARCHsim")
: the simulated returns.
signature(object = "cGARCHsim")
: the simulated correlation (for DCC type)
signature(object = "cGARCHsim")
: the simulated covariance.
signature(object = "cGARCHsim")
: summary.
Alexios Ghalanos
Joe, H. Multivariate Models and Dependence Concepts, 1997, Chapman \& Hall, London.
Genest, C., Ghoudi, K. and Rivest, L. A semiparametric estimation procedure of dependence
parameters in multivariate families of distributions, 1995, Biometrika, 82, 543-552.
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