class: Copula Simulation Class

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Description

The class is returned by calling the function cgarchsim.

Slots

msim:

Object of class "vector" multivariate simulation list.

Extends

Class "mGARCHsim", directly. Class "GARCHsim", by class "mGARCHsim", distance 2. Class "rGARCH", by class "mGARCHsim", distance 3.

Methods

fitted

signature(object = "cGARCHsim"): the simulated returns.

rcor

signature(object = "cGARCHsim"): the simulated correlation (for DCC type)

rcov

signature(object = "cGARCHsim"): the simulated covariance.

show

signature(object = "cGARCHsim"): summary.

Author(s)

Alexios Ghalanos

References

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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