xdcclarge: 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) <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>).
| Version: |
0.1.0 |
| Depends: |
R (≥ 3.0.2) |
| Imports: |
stats, Rcpp (≥ 0.10.6), nlshrink |
| LinkingTo: |
Rcpp (≥ 0.10.6), RcppArmadillo (≥ 0.2.34) |
| Suggests: |
rugarch (≥ 1.0.0) |
| Published: |
2018-07-12 |
| Author: |
Kei Nakagawa 
[aut, cre],
Mitsuyoshi Imamura [aut] |
| Maintainer: |
Kei Nakagawa <kei.nak.0315 at gmail.com> |
| License: |
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: |
yes |
| CRAN checks: |
xdcclarge results |
Documentation:
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