search for: mvspec

...rst specify univariate egarch model uspec<-ugarchspec(variance.model=list(model="eGARCH",garchOrder=c(1,1)), distribution.model="norm",mean.model=list(armaOrder=c(0,0),include.mean=F)) model=multispec(replicate(2,uspec)) # replicate for two series # specify ADCC model mvspec=dccspec(model,dccOrder = c(1,1),model = "aDCC",distribution = "mvnorm") # cluster cl= makePSOCKcluster(2) multf = multifit(model, Data, cluster = cl) fitADCC=dccfit(mvspec,data = Data, fit = multf, cluster = cl) ADCC<-print(fitADCC) stopCluster(cl) # stop cl...

Dear R Community, I am currently student at the Vienna University of Technology writing my Diploma thesis on causality in time series and doing some analyses of time series in R. I have the following questions: (1) Is there a function in R to estimate the PARTIAL spectral coherence of a multivariate time series? If yes, how does this work? Is there an test in R if the partial spectral