dccmidas

Estimates a variety of Dynamic Conditional Correlation (DCC) models. More in detail, the 'dccmidas' package allows the estimation of the corrected DCC (cDCC) of Aielli (2013) doi:10.1080/07350015.2013.771027, the DCC-MIDAS of Colacito et al. (2011) doi:10.1016/j.jeconom.2011.02.013, the Asymmetric DCC of Cappiello et al. doi:10.1093/jjfinec/nbl005, and the Dynamic Equicorrelation (DECO) of Engle and Kelly (2012) doi:10.1080/07350015.2011.652048. 'dccmidas' offers the possibility of including standard GARCH doi:10.1016/0304-4076(86)90063-1, GARCH-MIDAS doi:10.1162/REST_a_00300 and Double Asymmetric GARCH-MIDAS doi:10.1016/j.econmod.2018.07.025 models in the univariate estimation. Moreover, also the scalar and diagonal BEKK doi:10.1017/S0266466600009063 models can be estimated. Finally, the package calculates also the var-cov matrix under two non-parametric models: the Moving Covariance and the RiskMetrics specifications.