DCC Models with GARCH-MIDAS Specifications in the Univariate Step

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. Finally, the package calculates also the var-cov matrix under two non-parametric models: the Moving Covariance and the RiskMetrics specifications.


Reference manual

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.


0.1.0 by Vincenzo Candila, 10 months ago

Browse source code at https://github.com/cran/dccmidas

Authors: Vincenzo Candila [aut, cre]

Documentation:   PDF Manual  

GPL-3 license

Imports Rcpp, maxLik, rumidas, rugarch, roll, xts, tseries, Rdpack, lubridate, zoo, stats, utils

Suggests knitr, rmarkdown

Linking to Rcpp, RcppArmadillo

See at CRAN