DCC Models with GARCH and GARCH-MIDAS Specifications in the Univariate Step, RiskMetrics, Moving Covariance and Scalar and Diagonal BEKK Models

Estimates a variety of Dynamic Conditional Correlation (DCC) models. More in detail, the 'dccmidas' package allows the estimation of the corrected DCC (cDCC) of Aielli (2013) , the DCC-MIDAS of Colacito et al. (2011) , the Asymmetric DCC of Cappiello et al. , and the Dynamic Equicorrelation (DECO) of Engle and Kelly (2012) . 'dccmidas' offers the possibility of including standard GARCH , GARCH-MIDAS and Double Asymmetric GARCH-MIDAS models in the univariate estimation. Moreover, also the scalar and diagonal BEKK models can be estimated. Finally, the package calculates also the var-cov matrix under two non-parametric models: the Moving Covariance and the RiskMetrics specifications.