cdcc_correlations

param

matrix of standrdized(De-GARCH) residual returns (T by N)

stdresids

unconditional correlation matrix of stdresids (N by N)

uncR

ts how many time series are you taking

This function get the correlation matrix (Rt) of estimated cDCC-GARCH model.

Functions for Estimating a (c)DCC-GARCH Model in large dimensions
based on a publication by Engle et,al (2017) <doi:10.1080/07350015.2017.1345683> and Nakagawa et,al (2018) <doi:10.3390/ijfs6020052>.
This estimation method is consist of composite likelihood method by Pakel et al. (2014) <http://paneldataconference2015.ceu.hu/Program/Cavit-Pakel.pdf>
and (Non-)linear shrinkage estimation of covariance matrices by Ledoit and Wolf (2004,2015,2016). (<doi:10.1016/S0047-259X(03)00096-4>,
<doi:10.1214/12-AOS989>, <doi:10.1016/j.jmva.2015.04.006>).

cdcc_correlations: This function get the correlation matrix (Rt) of estimated cDCC-GARCH model.

Description

Usage

Arguments

Value