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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
DOI: 10.32614/CRAN.package.xdcclarge
Author: Kei Nakagawa ORCID iD [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:

Reference manual: xdcclarge.pdf

Downloads:

Package source: xdcclarge_0.1.0.tar.gz
Windows binaries: r-devel: xdcclarge_0.1.0.zip, r-release: xdcclarge_0.1.0.zip, r-oldrel: xdcclarge_0.1.0.zip
macOS binaries: r-release (arm64): xdcclarge_0.1.0.tgz, r-oldrel (arm64): xdcclarge_0.1.0.tgz, r-release (x86_64): xdcclarge_0.1.0.tgz, r-oldrel (x86_64): xdcclarge_0.1.0.tgz

Linking:

Please use the canonical form https://CRAN.R-project.org/package=xdcclarge 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.
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