DCCspec-class: class: DCC Specification Class
Description
The class is returned by calling the function dccspec.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.