The dcc_garch package implements the Dynamic Conditional Correlation (DCC) framework proposed by Engle (2002) — a cornerstone in multivariate volatility modeling. It estimates time-varying covariance ...

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Abstract: Data that house topological information is manifested as relationships between multiple variables via a graph formulation. Various methods have been developed for analyzing time series on ...

ABSTRACT: The global financial landscape is increasingly becoming interconnected, with financial markets exhibiting complex interdependencies. This increases the possibility of market risk spreading ...

ABSTRACT: The global financial landscape is increasingly becoming interconnected, with financial markets exhibiting complex interdependencies. This increases the possibility of market risk spreading ...

Appropriate modeling of time-varying dependencies is very important for quantifying financial risk, such as the risk associated with a portfolio of financial assets. Most of the papers analyzing ...