Hi ,
Are there any multivariate GARCH package (e.g., BEKK) in R?
I do see a few projects constructing multivariate GARCH package, but
wonder if there is anyone that is ready for use.
Thanks,
Miao
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On Feb 18, 2013, at 5:16 PM, jpm miao wrote:
Hi ,
Are there any multivariate GARCH package (e.g., BEKK) in R?
I do see a few projects constructing multivariate GARCH package, but
wonder if there is anyone that is ready for use.
What efforts have you made at searching? In particular
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