Package: dccmidas
Type: Package
Title: DCC Models with GARCH and GARCH-MIDAS Specifications in the
        Univariate Step, RiskMetrics, Moving Covariance and Scalar and
        Diagonal BEKK Models
Version: 0.1.2
Authors@R: person("Vincenzo", "Candila", email="vcandila@unisa.it", role=c("aut", "cre"))
Description: 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.
License: GPL-3
LinkingTo: Rcpp, RcppArmadillo
Encoding: UTF-8
LazyData: true
RoxygenNote: 7.2.3
RdMacros: Rdpack
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)
Suggests: knitr, rmarkdown
NeedsCompilation: yes
Packaged: 2024-02-21 13:54:37 UTC; candi
Author: Vincenzo Candila [aut, cre]
Maintainer: Vincenzo Candila <vcandila@unisa.it>
Repository: CRAN
Date/Publication: 2024-02-21 14:10:02 UTC
Built: R 4.2.3; aarch64-apple-darwin20; 2024-02-21 17:59:49 UTC; unix
Archs: dccmidas.so.dSYM
