dccmidas (Q128865): Difference between revisions
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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 | ||||||||||||||
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Property / last update: 15 March 2021 / rank | |||||||||||||||
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Property / imports: lubridate / rank | |||||||||||||||
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Property / cites work: Dynamic Conditional Correlation: On Properties and Estimation / rank | |||||||||||||||
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Property / cites work: A component model for dynamic correlations / rank | |||||||||||||||
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Property / cites work: Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns / rank | |||||||||||||||
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Property / cites work: Dynamic Equicorrelation / rank | |||||||||||||||
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Property / cites work: Generalized autoregressive conditional heteroskedasticity / rank | |||||||||||||||
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Property / cites work: Stock Market Volatility and Macroeconomic Fundamentals / rank | |||||||||||||||
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Property / cites work: On the asymmetric impact of macro–variables on volatility / rank | |||||||||||||||
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0.1.2 | |||||||||||||||
Property / software version identifier: 0.1.2 / rank | |||||||||||||||
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publication date: 21 February 2024
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21 February 2024
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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. | |||||||||||||||
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. / rank | |||||||||||||||
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Property / author: Vincenzo Candila / rank | |||||||||||||||
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Property / copyright license: GNU General Public License, version 3.0 / rank | |||||||||||||||
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software version identifier: ≥ 1.3-8 | |||||||||||||||
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software version identifier: ≥ 0.1.1 | |||||||||||||||
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software version identifier: ≥ 1.4-4 | |||||||||||||||
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software version identifier: ≥ 1.1.4 | |||||||||||||||
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software version identifier: ≥ 0.12.0 | |||||||||||||||
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software version identifier: ≥ 1.0.0 | |||||||||||||||
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software version identifier: ≥ 1.8.8 | |||||||||||||||
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software version identifier: ≥ 4.0.2 | |||||||||||||||
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software version identifier: ≥ 4.0.2 | |||||||||||||||
Property / cites work | |||||||||||||||
Property / cites work: Dynamic Conditional Correlation: On Properties and Estimation / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / cites work | |||||||||||||||
Property / cites work: A component model for dynamic correlations / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / cites work | |||||||||||||||
Property / cites work: Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / cites work | |||||||||||||||
Property / cites work: Dynamic Equicorrelation / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / cites work | |||||||||||||||
Property / cites work: Generalized autoregressive conditional heteroskedasticity / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / cites work | |||||||||||||||
Property / cites work: Stock Market Volatility and Macroeconomic Fundamentals / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / cites work | |||||||||||||||
Property / cites work: On the asymmetric impact of macro–variables on volatility / rank | |||||||||||||||
Normal rank | |||||||||||||||
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Property / cites work: Multivariate Simultaneous Generalized ARCH / rank | |||||||||||||||
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software version identifier: ≥ 4.0.0 | |||||||||||||||
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Property / MaRDI profile type: MaRDI software profile / rank | |||||||||||||||
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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
21 February 2024
0 references
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