Re: [R] Generalized DCC GARCH ML estimation

écrit : > Message: 24 > Date: Sun, 6 Jun 2010 10:17:50 -0700 (PDT) > From: drinky_1 > To:r-help@r-project.org > Subject: [R] Generalized DCC GARCH ML estimation > Message-ID:<1275844670290-2245135.p...@n4.nabble.com> > Content-Type: text/plain; charset=us-ascii > >

[R] Generalized DCC GARCH ML estimation

-- View this message in context: http://r.789695.n4.nabble.com/Generalized-DCC-GARCH-ML-estimation-tp2245125p2245125.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listi

[R] Generalized DCC GARCH ML estimation

Hi everyone, I want to do a maximum likelihood estimation for the Generalized Dynamic Conditional Correlation (GDCC) Model of Hafner and Franses (2009), but I don't know how exactly. I hope you can help me. This is what I have so far. Well first of all Hafner models the conditional covariance ma