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xdcclarge  

Estimating a (c)DCC-GARCH Model in Large Dimensions
View on CRAN: Click here


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

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

Install by package version:
library("remotes")
install_version("xdcclarge", "0.1.0")



Attach the package and use:
library("xdcclarge")
Maintained by
Kei Nakagawa
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2018-07-12
Latest Update: 2018-07-12
Description:
Functions for Estimating a (c)DCC-GARCH Model in large dimensions based on a publication by Engle et,al (2017) <doi:10.1080/07350015.2017.1345683> and Nakagawa et,al (2018) <doi:10.3390/ijfs6020052>. 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). (<doi:10.1016/S0047-259X(03)00096-4>, <doi:10.1214/12-AOS989>, <doi:10.1016/j.jmva.2015.04.006>).
How to cite:
Kei Nakagawa (2018). xdcclarge: Estimating a (c)DCC-GARCH Model in Large Dimensions. R package version 0.1.0, https://cran.r-project.org/web/packages/xdcclarge. Accessed 22 Dec. 2024.
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