by Patrick Burns.
Abstract: This brief note offers an explicit algorithm for a multivariate GARCH model, called PC-GARCH, that requires only univariate GARCH estimation. It is suitable for problems with hundreds or even thousands of variables. PC-GARCH is compared to two other techniques of getting multivariate GARCH using univariate estimates.
jun 25, 26
The email address patrick@burns-stat.com was out of action for a few hours today. It is back now.
jun 25, 26
Customization in R. Basics Several features benefit from being customizable — either because of personal taste or specifics of the environment. The way R implements this flexibility is through the [...]
jun 25, 26
How to control the limits of data values in R plots. R has multiple graphics engines. Here we will talk about the base graphics and the ggplot2 package. We’ll create [...]