[R] How estimate VAR(p)-model robustly?

Hello, Does anyone know about robust estimation of vector autoregressive models (VAR(p)) in R? Or in Matlab? Currently I am using the function ar(). The problem is, that the variances of my data change a lot with time, and we also have some outliers in the data. That is why, I presume, that w

[R] ARMA-GARCH package in R?

Hello, Does anyone know about an R-package on multivariate ARMA-GARCH models? Or in Matlab? I would be very grateful if someone could help! Thanks a lot! [[alternative HTML version deleted]] __ R-help@r-project.org mailing list h

[R] package ccgarch - dcc.estimation

Hello, I am trying to model a bivariate time series called 'residuals' as a dcc-garch model. I want to use the function dcc.estimation(a, A, B dcc.para, dvar, model) to estimate the parameters. No matter how I tried to define a, A and B, I always got the message "Error in constrOptim(theta =

[R] package ccgarch - dcc.estimation

Hello, I am trying to model a bivariate time series called 'residuals' as a dcc-garch model. I want to use the function dcc.estimation(a, A, B dcc.para, dvar, model) out of the package ccgarch to estimate the parameters. No matter how I tried to define a, A and B, I always got the message "Er