Package: dccmidas
Type: Package
Title: DCC Models with GARCH-MIDAS Specifications in the Univariate
        Step
Version: 0.1.0
Authors@R: person("Vincenzo", "Candila", email="vincenzo.candila@uniroma1.it", role=c("aut", "cre"))
Description: Estimates a variety of Dynamic Conditional Correlation (DCC) models. More in detail, the 'dccmidas' package allows the estimation of the corrected DCC (cDCC) of Aielli (2013) <doi:10.1080/07350015.2013.771027>, the DCC-MIDAS of Colacito et al. (2011) <doi:10.1016/j.jeconom.2011.02.013>, the Asymmetric DCC of Cappiello et al. <doi:10.1093/jjfinec/nbl005>, and the Dynamic Equicorrelation (DECO) of Engle and Kelly (2012) <doi:10.1080/07350015.2011.652048>. 'dccmidas' offers the possibility of including standard GARCH <doi:10.1016/0304-4076(86)90063-1>, GARCH-MIDAS <doi:10.1162/REST_a_00300> and Double Asymmetric GARCH-MIDAS <doi:10.1016/j.econmod.2018.07.025> models in the univariate estimation. Finally, the package calculates also the var-cov matrix under two non-parametric models: the Moving Covariance and the RiskMetrics specifications.
License: GPL-3
LinkingTo: Rcpp, RcppArmadillo
Encoding: UTF-8
LazyData: true
RoxygenNote: 7.1.1
RdMacros: Rdpack
Depends: R (>= 4.0.0)
Imports: Rcpp (>= 1.0.5), maxLik (>= 1.3-8), rumidas (>= 0.1.1),
        rugarch (>= 1.4-4), roll (>= 1.1.4), xts (>= 0.12.0), tseries
        (>= 0.10.47), Rdpack (>= 1.0.0), lubridate (>= 1.7.9), zoo (>=
        1.8.8), stats (>= 4.0.2), utils (>= 4.0.2)
Suggests: knitr, rmarkdown
NeedsCompilation: yes
Packaged: 2021-03-12 23:03:28 UTC; Vincenzo
Author: Vincenzo Candila [aut, cre]
Maintainer: Vincenzo Candila <vincenzo.candila@uniroma1.it>
Repository: CRAN
Date/Publication: 2021-03-15 10:00:07 UTC
Built: R 4.0.5; x86_64-w64-mingw32; 2022-04-21 10:15:42 UTC; windows
Archs: i386, x64
