us_stocks

<p>the closing price data of us stocks in SP500 index from 2006-03-31 to 2014-03-31 from yahoo finance.</p>

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>).

Kei Nakagawa

xdcclarge

Estimating a (c)DCC-GARCH Model in Large Dimensions

Mitsuyoshi Imamura

us_stocks function

<p>A data frame with 2013 rows and 460 variables:</p>

us_stocks: the closing price data of us stocks in SP500 index from 2006-03-31 to 2014-03-31 from yahoo finance.

Description

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