Hello,
Does any one know any implementation of the Asymmetric (in volatility) DCC
MGARCH.
I used the toolbox of sheppard but I have some problems in generalizing the
GARCH-DCC-MGARCH to the Asymmetric one (EGARCH -DCC-MGARCH, GJR- DCC-MGARCH)
Would you please correct to me the code that I wrote on Matlad or give me any
existiong code on R,Splus or gauss?
Thanks
James, R
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