vdR: Computing partial derivatives of the CCC matrix
Description
This function computes partial derivatives of the CCC
matrix with respect to its correlation coefficients.
Usage
vdR(n)
Arguments
n
the number of dimension of the model
Value
a matrix of zeros and ones $( (N(N-1))/2 \times N^{2} )$
References
Nakatani, T. and T. Ter"asvirta (2009),
Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model,
Econometrics Journal, 12, 147-163.
Nakatani, T. and T. Ter"asvirta (2008),
Appendix to Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model
Department of Economic Statistics, Stockholm School of Economics,
available at http://swopec.hhs.se/hastef/abs/hastef0649.htm.