DCC with skewed multivariate t distribution
Posted: Tue Oct 26, 2010 7:27 pm
hi, Tom
is there any sample code to Bauwens and Laurent (2005) on JBES.
In this paper, DCC based on skewed multivariate t distribution is adopted.
is there similar code to this ?
Please, thank you.
Frank
is there any sample code to Bauwens and Laurent (2005) on JBES.
In this paper, DCC based on skewed multivariate t distribution is adopted.
is there similar code to this ?
Please, thank you.
Frank