Re: [R] Multivariate GARCH

2010-10-20 Thread Owe Jessen
Am 20.10.2010 16:51, schrieb Giuseppe Grillo: HI! I'm student of university and i need an example (an application) of Multivariate GARCH model for replicate it in my thesis. It's better with model CCC e DCC. Best Regards Giuseppe for answer: bepperozz...@hotmail.com [[alternative HT

[R] Multivariate GARCH

2010-10-20 Thread Giuseppe Grillo
HI! I'm student of university and i need an example (an application) of Multivariate GARCH model for replicate it in my thesis. It's better with model CCC e DCC. Best Regards Giuseppe for answer: bepperozz...@hotmail.com [[alternative HTML version deleted]] ___

Re: [R] Multivariate GARCH Package

2009-03-04 Thread Pfaff, Bernhard Dr.
Dear Mohammad, have a look at the finance task view on CRAN: http://cran.at.r-project.org/web/views/Finance.html (Dirk has nicely updated this page recently). In addition, Patrick Burns provides a recipe for PC-GARCH models on his web-site: http://www.burns-stat.com/pages/Working/multgarchuni.

Re: [R] Multivariate GARCH Package

2009-03-03 Thread andrew
in the seond link on the pdf you have cited is http://www.vsthost.com/vstDocs/mgarchBEKK/ HTH. On Mar 4, 1:52 pm, Mohammad Sabr wrote: > Good day everyone, >   > I tried to find a multivariate GARCH package and failed to find one. Although > when I searched R I found the following link which d

[R] Multivariate GARCH Package

2009-03-03 Thread Mohammad Sabr
Good day everyone,   I tried to find a multivariate GARCH package and failed to find one. Although when I searched R I found the following link which describes the package:   http://www.r-project.org/user-2006/Slides/Schmidbauer+Tunalioglu.pdf   can any one help me with this issue.   Thank you in