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by nikolastico
Tue Mar 05, 2013 11:38 pm
Forum: Estimation
Topic: Dynamic conditional correlation multivariate GARCH
Replies: 72
Views: 65638

Re: Dynamic conditional correlation multivariate GARCH

Hello to all, I'm currently trying to using this code I copied from another post and modified it to allow assymetries (ADCC). I'm trying to testing contagion on index returns series... 'ADCC Model by Cappiello et al (2006) 'Load workfile and measure length of series series obscount = 1 scalar obslen...

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