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ccgarch2 for the CC-GARCH models: Project Home – R-Forge

Project description

The package, "ccgarch2" is designed to provide functions for simulation and estimation of conditional correlation (CC-) GARCH models. The CC-GARCH model includes the CCC-, DCC- and cDCC-GARCH models.

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Tags: econometrics, finance, multivariate, time series


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Registered: 2014-02-21 01:13
Activity Ranking: 0
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Vienna University of Economics and Business University of Wisconsin - Madison Powered By FusionForge