The Bayesian Dynamic Conditional Correlation GARCH Model

Bayesian estimation of dynamic conditional correlation GARCH model for multivariate time series volatility (Fioruci, J.A., Ehlers, R.S. and Andrade-Filho, M.G., (2014). .


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2.2 by Jose Augusto Fiorucci, 5 days ago

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Authors: Jose Augusto Fiorucci [aut, cre, cph] , Ricardo Sanders Ehlers [aut, cph] , Francisco Louzada [aut, cph]

Documentation:   PDF Manual  

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GPL (>= 2) license

Depends on numDeriv, coda

See at CRAN