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) and Nakagawa et,al (2018) . This estimation method is consist of composite likelihood method by Pakel et al. (2014) <> and (Non-)linear shrinkage estimation of covariance matrices by Ledoit and Wolf (2004,2015,2016). (, , ).


Reference manual

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0.1.0 by Kei Nakagawa, 4 years ago

Browse source code at

Authors: Kei Nakagawa [aut, cre] , Mitsuyoshi Imamura [aut]

Documentation:   PDF Manual  

GPL (>= 2) license

Imports stats, Rcpp, nlshrink

Suggests rugarch

Linking to Rcpp, RcppArmadillo

See at CRAN