Dear everyone,
i`m a german economics student, writing my master´s thesis about
"Multivariate Volatility Models". After having read about theoretical
aspects of Multivariate GARCH ans Stochastic Volatility Models, I would like
to compare DCC-GARCH and DC-SV with help of an empirical application. I
figuered out that one has to use MCMC-simulation-methods for that. Some days
ago I started searching the internet for already written codes... without
any succes. The only code I found is from Yu and Meyer (2006) using BUGS
-which I don't want to use- for making estimation and inference using
Gibbs-Sampling.
So the reason for me mailing you is that I`m searching for codes considering
estimation of DCC or/and DC using matlab. I would also be thankfull for
one-step methods like Gibbs. I hope my mailing was more or less
undestandable and that any of you may be able to help me.
Thanks a lot in advance!!!!!
Dennis Tuerk
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