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

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>).

Version: 0.1.0
Depends: R (≥ 3.0.2)
Imports: stats, Rcpp (≥ 0.10.6), nlshrink
LinkingTo: Rcpp (≥ 0.10.6), RcppArmadillo (≥ 0.2.34)
Suggests: rugarch (≥ 1.0.0)
Published: 2018-07-12
Author: Kei Nakagawa ORCID iD [aut, cre], Mitsuyoshi Imamura [aut]
Maintainer: Kei Nakagawa <kei.nak.0315 at gmail.com>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
CRAN checks: xdcclarge results


Reference manual: xdcclarge.pdf
Package source: xdcclarge_0.1.0.tar.gz
Windows binaries: r-devel: xdcclarge_0.1.0.zip, r-release: xdcclarge_0.1.0.zip, r-oldrel: xdcclarge_0.1.0.zip
OS X binaries: r-release: xdcclarge_0.1.0.tgz, r-oldrel: xdcclarge_0.1.0.tgz


Please use the canonical form https://CRAN.R-project.org/package=xdcclarge to link to this page.