| To: | s-news@lists.biostat.wustl.edu |
|---|---|
| Subject: | Dynamic Constant Correlation. |
| From: | "Nilav Bose" <nilav.bose@virginia.edu> |
| Date: | Wed, 26 Apr 2006 02:28:59 -0400 |
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Hi.
I would like to use the Dynamic Conditional Correlation (DCC) model (Engle-2001) to estimate MGARCH models on some time series data.
In S Plus + Finmetrics, is it possible to use ~dcc as an argument in the MGARCH function, in the same way that we use ~ccc (Constant Conditional Correlation) ?
Thanks.
Nilav Bose Graduate Student University of Virginia.
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