Dear everyone, i`m a german economics student, writing my masterĀ“s thesis about "Multivariate Volatility Models". After having read about theoretical aspects of Multivariate GARCH ans Stochastic Volatility Models, I would like to compare DCC-GARCH and DC-SV with help of an empirical application. I figuered out that one has to use MCMC-simulation-methods for that. Some days ago I started searching the internet for already written codes... without any succes. The only code I found is from Yu and Meyer (2006) using BUGS -which I don't want to use- for making estimation and inference using Gibbs-Sampling. So the reason for me mailing you is that I`m searching for codes considering estimation of DCC or/and DC using matlab. I would also be thankfull for one-step methods like Gibbs. I hope my mailing was more or less undestandable and that any of you may be able to help me. Thanks a lot in advance!!!!! Dennis Tuerk [[alternative HTML version deleted]]
For DCC (and others multivariate garch models) see Kevin Sheppad's UCSD GARCH Toolbox: kevinsheppard.com/wiki/UCSD_GARCH Hope this helps, Washington S. Silva> Dear everyone, > > i`m a german economics student, writing my master?s thesis about > "Multivariate Volatility Models". After having read about theoretical > aspects of Multivariate GARCH ans Stochastic Volatility Models, I would like > to compare DCC-GARCH and DC-SV with help of an empirical application. I > figuered out that one has to use MCMC-simulation-methods for that. Some days > ago I started searching the internet for already written codes... without > any succes. The only code I found is from Yu and Meyer (2006) using BUGS > -which I don't want to use- for making estimation and inference using > Gibbs-Sampling. > > So the reason for me mailing you is that I`m searching for codes considering > estimation of DCC or/and DC using matlab. I would also be thankfull for > one-step methods like Gibbs. I hope my mailing was more or less > undestandable and that any of you may be able to help me. > > > Thanks a lot in advance!!!!! > > Dennis Tuerk > > > [[alternative HTML version deleted]] > >