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Subject:
Asymmetric DCC in Ox
From:
Libby Howard <[log in to unmask]>
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Date:
Wed, 18 Jul 2012 16:03:18 +0100
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Hello, I would like to make an extension to the DCC model in G@RCH based on the AG-DCC-GARCH model (Cappiello, Engle, Sheppard 2006). Is this possible and if yes, how do I access the DCC Ox code? Thank you very much in advance for your help, Libby
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