Package: xdcclarge
Type: Package
Title: Estimating a (c)DCC-GARCH Model in Large Dimensions
Version: 0.1.0
Authors@R: c(
            person("Kei","Nakagawa",email="kei.nak.0315@gmail.com",role=c("aut","cre"),comment = c(ORCID = "0000-0001-5046-8128")),
            person("Mitsuyoshi","Imamura",email="ic140tg528@gmail.com",role=c("aut"))
          )
Description: Functions for Estimating a (c)DCC-GARCH Model in large dimensions
    based on a publication by Engle et,al (2017) <doi:10.1080/07350015.2017.1345683> and Nakagawa et,al (2018) <doi:10.3390/ijfs6020052>.
    This estimation method is consist of composite likelihood method by Pakel et al. (2014) <http://paneldataconference2015.ceu.hu/Program/Cavit-Pakel.pdf>
    and (Non-)linear shrinkage estimation of covariance matrices by Ledoit and Wolf (2004,2015,2016). (<doi:10.1016/S0047-259X(03)00096-4>,
    <doi:10.1214/12-AOS989>, <doi:10.1016/j.jmva.2015.04.006>).
License: GPL (>= 2)
Author: Kei Nakagawa [aut, cre] (<https://orcid.org/0000-0001-5046-8128>),
  Mitsuyoshi Imamura [aut]
Maintainer: Kei Nakagawa <kei.nak.0315@gmail.com>
LazyData: TRUE
Imports: stats, Rcpp(>= 0.10.6), nlshrink
Depends: R(>= 3.0.2)
LinkingTo: Rcpp(>= 0.10.6),RcppArmadillo(>= 0.2.34)
Suggests: rugarch(>= 1.0.0)
RoxygenNote: 6.0.1
NeedsCompilation: yes
Packaged: 2018-07-12 12:07:16 UTC; kei
Repository: CRAN
Date/Publication: 2018-07-12 18:50:03 UTC
Built: R 3.6.3; x86_64-w64-mingw32; 2021-05-12 20:27:23 UTC; windows
Archs: i386, x64
