The hardware and bandwidth for this mirror is donated by dogado GmbH, the Webhosting and Full Service-Cloud Provider. Check out our Wordpress Tutorial.
If you wish to report a bug, or if you are interested in having us mirror your free-software or open-source project, please feel free to contact us at mirror[@]dogado.de.
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) <doi:10.1080/07350015.2013.771027>, the DCC-MIDAS of Colacito et al. (2011) <doi:10.1016/j.jeconom.2011.02.013>, the Asymmetric DCC of Cappiello et al. <doi:10.1093/jjfinec/nbl005>, and the Dynamic Equicorrelation (DECO) of Engle and Kelly (2012) <doi:10.1080/07350015.2011.652048>. 'dccmidas' offers the possibility of including standard GARCH <doi:10.1016/0304-4076(86)90063-1>, GARCH-MIDAS <doi:10.1162/REST_a_00300> and Double Asymmetric GARCH-MIDAS <doi:10.1016/j.econmod.2018.07.025> models in the univariate estimation. Moreover, also the scalar and diagonal BEKK <doi:10.1017/S0266466600009063> 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.
| Version: | 0.1.2 |
| Depends: | R (≥ 4.0.0) |
| Imports: | maxLik (≥ 1.3-8), rumidas (≥ 0.1.1), rugarch (≥ 1.4-4), roll (≥ 1.1.4), xts (≥ 0.12.0), Rdpack (≥ 1.0.0), zoo (≥ 1.8.8), stats (≥ 4.0.2), utils (≥ 4.0.2) |
| LinkingTo: | Rcpp, RcppArmadillo |
| Suggests: | knitr, rmarkdown |
| Published: | 2024-02-21 |
| Author: | Vincenzo Candila [aut, cre] |
| Maintainer: | Vincenzo Candila <vcandila at unisa.it> |
| License: | GPL-3 |
| NeedsCompilation: | yes |
| Citation: | dccmidas citation info |
| Materials: | NEWS |
| CRAN checks: | dccmidas results |
| Reference manual: | dccmidas.pdf |
| Package source: | dccmidas_0.1.2.tar.gz |
| Windows binaries: | r-devel: dccmidas_0.1.2.zip, r-release: dccmidas_0.1.2.zip, r-oldrel: dccmidas_0.1.2.zip |
| macOS binaries: | r-release (arm64): dccmidas_0.1.2.tgz, r-oldrel (arm64): dccmidas_0.1.2.tgz, r-release (x86_64): dccmidas_0.1.2.tgz, r-oldrel (x86_64): dccmidas_0.1.2.tgz |
| Old sources: | dccmidas archive |
Please use the canonical form https://CRAN.R-project.org/package=dccmidas to link to this page.
These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
Health stats visible at Monitor.