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rmgarch (version 1.2-9)

DCCspec-class: class: DCC Specification Class

Description

The class is returned by calling the function dccspec.

Arguments

Extends

Class "mGARCHspec", directly. Class "GARCHspec", by class "mGARCHspec", distance 2. Class "rGARCH", by class "mGARCHspec", distance 3.

References

Croux, C. and Joossens, K. 2008, Robust estimation of the vector autoregressive model by a least trimmed squares procedure, COMPSTAT, 489--501. Cappiello, L., Engle, R.F. and Sheppard, K. 2006, Asymmetric dynamics in the correlations of global equity and bond returns, Journal of Financial Econometrics 4, 537--572. Engle, R.F. and Sheppard, K. 2001, Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH, NBER Working Paper.