xdcclarge
Estimating a (c)DCC-GARCH Model in Large Dimensions
v0.1.0
·
Jul 12, 2018
·
GPL (>= 2)
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>).
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0.1.0
Mar 9, 2026