R-SIG-Finance April 2020

Thread Subject Author Date

6 messages in 4 threads

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VARMA DCC GARCH with external dummy variable in mean and variance model

1 msg Apr 22

Sania Wadud VARMA DCC GARCH with external dummy variable in mean and variance model Apr 22, 2020

Singular matrix in DCC fit in package rmgarch | how to bypass base::solve() elegantly

2 msgs Apr 11

Peter Ruckdeschel Singular matrix in DCC fit in package rmgarch | how to bypass base::solve() elegantly Apr 9, 2020

Alexios Ghalanos Singular matrix in DCC fit in package rmgarch | how to bypass base::solve() elegantly Apr 11, 2020

Selection of appropriate copula family for multivariate Monte Carlo simulation of asset returns

1 msg Apr 3

shawn tan Selection of appropriate copula family for multivariate Monte Carlo simulation of asset returns Apr 3, 2020

rugarch bug or my mistake?

2 msgs Apr 1

travisgleith . rugarch bug or my mistake? Apr 1, 2020

Alexios Ghalanos rugarch bug or my mistake? Apr 1, 2020