[R-sig-finance] multivariate garch?

[Dirk Eddelbuettel]

On Thu, Aug 05, 2004 at 07:07:17PM +0200, Molins, Jordi wrote:
>
> Hello,
>
> is there some library in R for multivariate garch?

No, but check the useR 2004 program. Harald Schmidbauer (whom I'll CC) gave
a really nice (short) presentation on bi-variate garch, and said he was
planning to extend it to the multivariate case. A short page is at
http://www.hs-stat.com/  -- I had meant to follow up with Harald, so this is
as good an excuse as any :)

Harald: any news on the garch code?

Dirk

-- 
Those are my principles, and if you don't like them... well, I have others.
                                                -- Groucho Marx