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) < http://paneldataconference2015.ceu.hu/Program/Cavit-Pakel.pdf> and (Non-)linear shrinkage estimation of covariance matrices by Ledoit and Wolf (2004,2015,2016). (, , ).


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install.packages("xdcclarge")

0.1.0 by Kei Nakagawa, 2 months ago


Browse source code at https://github.com/cran/xdcclarge


Authors: Kei Nakagawa [aut, cre] (<https://orcid.org/0000-0001-5046-8128>), Mitsuyoshi Imamura [aut]


Documentation:   PDF Manual  


GPL (>= 2) license


Imports stats, Rcpp, nlshrink

Suggests rugarch

Linking to Rcpp, RcppArmadillo


See at CRAN