Hello,
  Does any one know any implementation of the Asymmetric (in volatility) DCC MGARCH.
  I used the toolbox of sheppard but I have some problems in generalizing the GARCH-DCC-MGARCH to the Asymmetric one (EGARCH -DCC-MGARCH, GJR- DCC-MGARCH) 
  Would you please correct to me the code that I wrote on Matlad or give me any existiong code on R,Splus or gauss?
  Thanks
  James, R

        
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