Estimating a (c)DCC-GARCH Model in Large Dimensions
Functions for Estimating a (c)DCC-GARCH Model in large dimensions
based on a publication by Engle et,al (2017) <10.1080> and Nakagawa et,al (2018) <10.3390>.
This estimation method is consist of composite likelihood method by Pakel et al. (2014) < http://paneldataconference2015.ceu.hu/Program/Cavit-Pakel.pdf>
and (Non-)linear shrinkage estimation of covariance matrices by Ledoit and Wolf (2004,2015,2016). (<10.1016>,