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dccmidas
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]
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2021-03-15
Latest Update: 2021-03-15
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
Previous versions and publish date:
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
Functions, R codes and Examples using
the dccmidas R package
Some associated functions: Det . Inv . QMLE_sd . a_dcc_loglik . a_dcc_mat_est . a_dccmidas_loglik . a_dccmidas_mat_est . cov_eval . dcc_fit . dcc_loglik . dcc_mat_est . dccmidas_loglik . dccmidas_mat_est . deco_loglik . deco_mat_est . ftse100 . grapes-pow-grapes . indpro . moving_cov_est . nasdaq . plot_dccmidas . print.dccmidas . riskmetrics_est . sp500 . summary.dccmidas .
Some associated R codes: RcppExports.R . data.R . functions.R . Full dccmidas package functions and examples
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