Other packages > Find by keyword >

dccmidas  

DCC Models with GARCH and GARCH-MIDAS Specifications in the Univariate Step, RiskMetrics, Moving Covariance and Scalar and Diagonal BEKK Models
View on CRAN: Click here


Download and install dccmidas package within the R console
Install from CRAN:
install.packages("dccmidas")

Install from Github:
library("remotes")
install_github("cran/dccmidas")

Install by package version:
library("remotes")
install_version("dccmidas", "0.1.2")



Attach the package and use:
library("dccmidas")
Maintained by
Vincenzo Candila
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2021-03-15
Latest Update: 2024-02-21
Description:
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.
How to cite:
Vincenzo Candila (2021). dccmidas: DCC Models with GARCH and GARCH-MIDAS Specifications in the Univariate Step, RiskMetrics, Moving Covariance and Scalar and Diagonal BEKK Models. R package version 0.1.2, https://cran.r-project.org/web/packages/dccmidas. Accessed 05 Aug. 2026.
Previous versions and publish date:
(2026-07-09 07:30), 0.1.0 (2021-03-15 11:00)
Other packages that cited dccmidas R package
View dccmidas citation profile
Other R packages that dccmidas depends, imports, suggests or enhances
Complete documentation for dccmidas
Downloads during the last 30 days

Today's Hot Picks in Authors and Packages

dcov  
A Fast Implementation of Distance Covariance
Efficient methods for computing distance covariance and relevant statistics. See Sz ...
Download / Learn more Package Citations See dependency  
kernelPSI  
Post-Selection Inference for Nonlinear Variable Selection
Different post-selection inference strategies for kernelselection as described in kernelPSI a Post-S ...
Download / Learn more Package Citations See dependency  
quickcode  
Quick and Essential 'R' Tricks for Better Scripts
The NOT functions, 'R' tricks and a compilation of some simple quick plus often used 'R' codes to im ...
Download / Learn more Package Citations See dependency  
dhReg  
Dynamic Harmonic Regression
Building and forecasting time series data with multiple seasonality using Dynamic Harmonic Regressio ...
Download / Learn more Package Citations See dependency  
noisyr  
Noise Quantification in High Throughput Sequencing Output
Quantifies and removes technical noise from high-throughput sequencing data. Two approaches are use ...
Download / Learn more Package Citations See dependency  

28,083

R Packages

239,283

Dependencies

74,457

Author Associations

28,084

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA