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.


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install.packages("dccmidas")

0.1.0 by Vincenzo Candila, a month 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