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. Finally, the package calculates also the var-cov matrix under two non-parametric models: the Moving Covariance and the RiskMetrics specifications.
| Version: | 0.1.0 |
| Depends: | R (≥ 4.0.0) |
| Imports: | Rcpp (≥ 1.0.5), maxLik (≥ 1.3-8), rumidas (≥ 0.1.1), rugarch (≥ 1.4-4), roll (≥ 1.1.4), xts (≥ 0.12.0), tseries (≥ 0.10.47), Rdpack (≥ 1.0.0), lubridate (≥ 1.7.9), zoo (≥ 1.8.8), stats (≥ 4.0.2), utils (≥ 4.0.2) |
| LinkingTo: | Rcpp, RcppArmadillo |
| Suggests: | knitr, rmarkdown |
| Published: | 2021-03-15 |
| Author: | Vincenzo Candila [aut, cre] |
| Maintainer: | Vincenzo Candila <vincenzo.candila at uniroma1.it> |
| License: | GPL-3 |
| NeedsCompilation: | yes |
| Citation: | dccmidas citation info |
| CRAN checks: | dccmidas results |
| Reference manual: | dccmidas.pdf |
| Package source: | dccmidas_0.1.0.tar.gz |
| Windows binaries: | r-devel: dccmidas_0.1.0.zip, r-devel-UCRT: dccmidas_0.1.0.zip, r-release: dccmidas_0.1.0.zip, r-oldrel: dccmidas_0.1.0.zip |
| macOS binaries: | r-release (arm64): dccmidas_0.1.0.tgz, r-release (x86_64): dccmidas_0.1.0.tgz, r-oldrel: dccmidas_0.1.0.tgz |
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