rmgarch

swMATH26851CRANrmgarchMaRDI QIDQ38574FDOQ38574

Multivariate GARCH Models

Alexios Galanos

Last update: 5 February 2022

Copyright license: GNU General Public License, version 3.0

Software version identifier: 1.3-9

Source code repository: https://github.com/cran/rmgarch

Cited In (13)

• A flexible observed factor model with separate dynamics for the factor volatilities and their correlation matrix
• Random autoregressive models: A structured overview
• Analysis of dynamic correlation of Japanese stock returns with network clustering
• Estimation and decomposition of food price inflation risk
• Lévy copulae for financial returns
• Managing risk with a realized copula parameter
• Linear time-varying regression with copula-DCC-GARCH models for volatility
• The impact of covariance misspecification in risk-based portfolios
• Mean-univariate GARCH VaR portfolio optimization: actual portfolio approach
• Stationary vine copula models for multivariate time series
• ConnectednessApproach
• Efficient Bayesian Inference for Nonlinear State Space Models With Univariate Autoregressive State Equation
• VIRF

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