rmgarch
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Software:38574
swMATH26851CRANrmgarchMaRDI QIDQ38574
Multivariate GARCH Models
Last update: 5 February 2022
Copyright license: GNU General Public License, version 3.0
Software version identifier: 1.3-9
Source code repository: https://github.com/cran/rmgarch
Related Items (13)
Analysis of dynamic correlation of Japanese stock returns with network clustering ⋮ Random autoregressive models: A structured overview ⋮ Estimation and decomposition of food price inflation risk ⋮ Efficient Bayesian Inference for Nonlinear State Space Models With Univariate Autoregressive State Equation ⋮ Mean-univariate GARCH VaR portfolio optimization: actual portfolio approach ⋮ Managing risk with a realized copula parameter ⋮ Linear time-varying regression with copula-DCC-GARCH models for volatility ⋮ ConnectednessApproach ⋮ The impact of covariance misspecification in risk-based portfolios ⋮ Stationary vine copula models for multivariate time series ⋮ Lévy copulae for financial returns ⋮ VIRF ⋮ A flexible observed factor model with separate dynamics for the factor volatilities and their correlation matrix
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