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# CITATION file created with {cffr} R package
# See also: https://docs.ropensci.org/cffr/
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cff-version: 1.2.0
message: 'To cite package "dccmidas" in publications use:'
type: software
license: GPL-3.0-only
title: 'dccmidas: DCC Models with GARCH and GARCH-MIDAS Specifications in the Univariate
  Step, RiskMetrics, Moving Covariance and Scalar and Diagonal BEKK Models'
version: 0.1.2
identifiers:
- type: doi
  value: 10.32614/CRAN.package.dccmidas
abstract: 'Estimates a variety of Dynamic Conditional Correlation (DCC) models. More
  in detail, the ''dccmidas'' package allows the estimation of the corrected DCC (cDCC)
  of Aielli (2013) <https://doi.org/10.1080/07350015.2013.771027>, the DCC-MIDAS of
  Colacito et al. (2011) <https://doi.org/10.1016/j.jeconom.2011.02.013>, the Asymmetric
  DCC of Cappiello et al. <https://doi.org/10.1093/jjfinec/nbl005>, and the Dynamic
  Equicorrelation (DECO) of Engle and Kelly (2012) <https://doi.org/10.1080/07350015.2011.652048>.
  ''dccmidas'' offers the possibility of including standard GARCH <https://doi.org/10.1016/0304-4076(86)90063-1>,
  GARCH-MIDAS <https://doi.org/10.1162/REST_a_00300> and Double Asymmetric GARCH-MIDAS
  <https://doi.org/10.1016/j.econmod.2018.07.025> models in the univariate estimation.
  Moreover, also the scalar and diagonal BEKK <https://doi.org/10.1017/S0266466600009063>
  models can be estimated. Finally, the package calculates also the var-cov matrix
  under two non-parametric models: the Moving Covariance and the RiskMetrics specifications.'
authors:
- family-names: Candila
  given-names: Vincenzo
  email: vcandila@unisa.it
preferred-citation:
  type: manual
  title: 'dccmidas: A package for estimating DCC-based models in R'
  authors:
  - family-names: Candila
    given-names: Vincenzo
    email: vcandila@unisa.it
  year: '2024'
  notes: R package version 0.1.2.
repository: https://vincenzocandila.r-universe.dev
commit: a7554a7d8b695e09fab346ec43e7807eb5150948
date-released: '2024-02-22'
contact:
- family-names: Candila
  given-names: Vincenzo
  email: vcandila@unisa.it