Estimating a (c)DCC-GARCH Model in Large Dimensions
Description
Functions for Estimating a (c)DCC-GARCH Model in large dimensions
based on a publication by Engle et,al (2017) and Nakagawa et,al (2018) .
This estimation method is consist of composite likelihood method by Pakel et al. (2014)
and (Non-)linear shrinkage estimation of covariance matrices by Ledoit and Wolf (2004,2015,2016). (,
, ).