RATS program to estimate various forms of DCC GARCH models

Tom Doan ()
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Tom Doan: Estima

Statistical Software Components from Boston College Department of Economics

Abstract: Example of two-step estimates of various DCC models. This is the technique described in Cappiello, Engle & Sheppard(2006), "Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns," Journal of Financial Econometrics, vol. 4, no 4, pages 537-572, applied to a different data set.

Language: RATS
Requires: RATS 7.10
Keywords: ARCH-GARCH; DCC (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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Downloads: (external link)
https://www.estima.com/procs_perl/cappiello_engle_sheppard_jfe2006.zip (application/zip)

Related works:
Journal Article: Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rtz00174

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