bayesDccGarch (2.0)

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The Bayesian Dynamic Conditional Correlation GARCH Model.

http://arxiv.org/abs/1412.2967
http://cran.r-project.org/web/packages/bayesDccGarch

Bayesian estimation of dynamic conditional correlation GARCH model for multivariate time series volatility (Fioruci, J.A., Ehlers, R.S. and Andrade-Filho, M.G., (2014), DOI:10.1080/02664763.2013.839635).

Maintainer: Jose A Fioruci
Author(s): Jose A Fiorucci <jafioruci@gmail.com>, Ricardo S Ehlers <ehlers@icmc.usp.br>, Francisco Louzada <louzada@icmc.usp.br>

License: GPL (>= 2)

Uses: coda, numDeriv

Released almost 4 years ago.


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