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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