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 [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:

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