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- W66467429 abstract "Multivariate GARCH models are important tools to describe the dynamics of multivariate times series of financial returns. Nevertheless, these models have been much less used in practice due to the lack of reliable software. This paper describes the {tt R} package {bf BayesDccGarch} which was developed to implement recently proposed inference procedures to estimate and compare multivariate GARCH models allowing for asymmetric and heavy tailed distributions." @default.
- W66467429 created "2016-06-24" @default.
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- W66467429 date "2014-12-09" @default.
- W66467429 modified "2023-09-27" @default.
- W66467429 title "BayesDccGarch - An Implementation of Multivariate GARCH DCC Models" @default.
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