dccmidas (Q128865): Difference between revisions

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@@ description / en / description / en @@
-DCC Models with GARCH-MIDAS Specifications in the Univariate Step
+DCC Models with GARCH and GARCH-MIDAS Specifications in the Univariate Step, RiskMetrics, Moving Covariance and Scalar and Diagonal BEKK Models
@@ Property / last update @@
-March 2021Timestamp +2021-03-15T00:00:00Z
Timezone +00:00
Calendar Gregorian
Precision 1 day
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After 0
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++2021-03-15T00:00:00Z
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@@ Property / last update: 15 March 2021 / rank @@
-Normal rank
@@ Property / author @@
-Vincenzo Candila
@@ Property / author: Vincenzo Candila / rank @@
-Normal rank
@@ Property / copyright license @@
-GNU General Public License, version 3.0
@@ Property / copyright license: GNU General Public License, version 3.0 / rank @@
-Normal rank
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@@ Property / imports: rumidas / rank @@
-Normal rank
@@ Property / imports: rumidas / qualifier @@
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@@ Property / imports: rugarch / rank @@
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@@ Property / imports: rugarch / qualifier @@
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@@ Property / imports @@
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-utils
@@ Property / imports: utils / rank @@
-Normal rank
@@ Property / imports: utils / qualifier @@
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@@ Property / cites work @@
-Dynamic Conditional Correlation: On Properties and Estimation
-Normal rank
@@ Property / cites work @@
-A component model for dynamic correlations
@@ Property / cites work: A component model for dynamic correlations / rank @@
-Normal rank
@@ Property / cites work @@
-Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns
-Normal rank
@@ Property / cites work @@
-Dynamic Equicorrelation
@@ Property / cites work: Dynamic Equicorrelation / rank @@
-Normal rank
@@ Property / cites work @@
-Generalized autoregressive conditional heteroskedasticity
-Normal rank
@@ Property / cites work @@
-Stock Market Volatility and Macroeconomic Fundamentals
-Normal rank
@@ Property / cites work @@
-On the asymmetric impact of macro–variables on volatility
-Normal rank
@@ Property / software version identifier @@
+.1.2
@@ Property / software version identifier: 0.1.2 / rank @@
+Normal rank
@@ Property / software version identifier: 0.1.2 / qualifier @@
+publication date: 21 February 2024Timestamp +2024-02-21T00:00:00Z
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After 0
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++2024-02-21T00:00:00Z
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@@ Property / programmed in @@
+R
@@ Property / programmed in: R / rank @@
+Normal rank
@@ Property / last update @@
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Timezone +00:00
Calendar Gregorian
Precision 1 day
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After 0
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++2024-02-21T00:00:00Z
-Timezone
++00:00
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+Gregorian
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 Before
 After
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+Normal rank
@@ Property / 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.
+Normal rank
@@ Property / author @@
+Vincenzo Candila
@@ Property / author: Vincenzo Candila / rank @@
+Normal rank
@@ Property / copyright license @@
+GNU General Public License, version 3.0
@@ Property / copyright license: GNU General Public License, version 3.0 / rank @@
+Normal rank
@@ Property / imports @@
+maxLik
@@ Property / imports: maxLik / rank @@
+Normal rank
@@ Property / imports: maxLik / qualifier @@
+software version identifier: ≥ 1.3-8
@@ Property / imports @@
+rumidas
@@ Property / imports: rumidas / rank @@
+Normal rank
@@ Property / imports: rumidas / qualifier @@
+software version identifier: ≥ 0.1.1
@@ Property / imports @@
+rugarch
@@ Property / imports: rugarch / rank @@
+Normal rank
@@ Property / imports: rugarch / qualifier @@
+software version identifier: ≥ 1.4-4
@@ Property / imports @@
+roll
@@ Property / imports: roll / rank @@
+Normal rank
@@ Property / imports: roll / qualifier @@
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@@ Property / imports @@
+xts
@@ Property / imports: xts / rank @@
+Normal rank
@@ Property / imports: xts / qualifier @@
+software version identifier: ≥ 0.12.0
@@ Property / imports @@
+Rdpack
@@ Property / imports: Rdpack / rank @@
+Normal rank
@@ Property / imports: Rdpack / qualifier @@
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@@ Property / imports @@
+zoo
@@ Property / imports: zoo / rank @@
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@@ Property / imports: zoo / qualifier @@
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@@ Property / imports @@
+stats
@@ Property / imports: stats / rank @@
+Normal rank
@@ Property / imports: stats / qualifier @@
+software version identifier: ≥ 4.0.2
@@ Property / imports @@
+utils
@@ Property / imports: utils / rank @@
+Normal rank
@@ Property / imports: utils / qualifier @@
+software version identifier: ≥ 4.0.2
@@ Property / cites work @@
+Dynamic Conditional Correlation: On Properties and Estimation
+Normal rank
@@ Property / cites work @@
+A component model for dynamic correlations
@@ Property / cites work: A component model for dynamic correlations / rank @@
+Normal rank
@@ Property / cites work @@
+Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns
+Normal rank
@@ Property / cites work @@
+Dynamic Equicorrelation
@@ Property / cites work: Dynamic Equicorrelation / rank @@
+Normal rank
@@ Property / cites work @@
+Generalized autoregressive conditional heteroskedasticity
+Normal rank
@@ Property / cites work @@
+Stock Market Volatility and Macroeconomic Fundamentals
+Normal rank
@@ Property / cites work @@
+On the asymmetric impact of macro–variables on volatility
+Normal rank
@@ Property / cites work @@
+Multivariate Simultaneous Generalized ARCH
@@ Property / cites work: Multivariate Simultaneous Generalized ARCH / rank @@
+Normal rank
@@ Property / depends on software @@
+R
@@ Property / depends on software: R / rank @@
+Normal rank
@@ Property / depends on software: R / qualifier @@
+software version identifier: ≥ 4.0.0
@@ Property / MaRDI profile type @@
+MaRDI software profile
@@ Property / MaRDI profile type: MaRDI software profile / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Software:128865

Latest revision as of 19:56, 12 March 2024

DCC Models with GARCH and GARCH-MIDAS Specifications in the Univariate Step, RiskMetrics, Moving Covariance and Scalar and Diagonal BEKK Models

Language	Label	Description	Also known as
English	dccmidas	DCC Models with GARCH and GARCH-MIDAS Specifications in the Univariate Step, RiskMetrics, Moving Covariance and Scalar and Diagonal BEKK Models

Statements

instance of

R package

0 references

software version identifier

0.1.0

publication date

15 March 2021

0 references

0.1.2

publication date

21 February 2024

0 references

0 references

0 references

0 references

21 February 2024

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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.

0 references

author

Vincenzo Candila

0 references

copyright license

GNU General Public License, version 3.0

0 references

imports

maxLik

software version identifier

≥ 1.3-8

0 references