[R-SIG-Finance] multivariate garch

[Jeff Ryan]

Now playing at:

http://www.quantmod.com/download/mgarchBEKK/

Jeff

On Dec 25, 2007 1:56 PM, Brian G. Peterson <brian at braverock.com> wrote:
> Jeff Ryan wrote:
> > Topic was visited during October (and before...)
> >
> > The current version (if 2006 is current) of the software in the link
> > that Brian provided is broken.  To get it working required a little
> > bit of source editing.  Conveniently I posted the fix back then as
> > well.  I have the edited source which I can also post on quantmod.com
> > or email for those interested (assuming that is within the license -
> > of which I have not checked).
> >
> > Either way, the link provides the fix.
> >
> > https://stat.ethz.ch/pipermail/r-sig-finance/2007q4/001833.html
>
> License: GPL
>
> so you may distribute your changes freely, including here.
>
> Regards,
>
>    - Brian
>