Francesco,

have a look at http://www.burns-stat.com/ and go to Working Papers. You will
find a paper called "Multivariate GARCH with Only Univariate Estimation" by
Patrick Burns.

Hannu

On 7/6/06, Citta Francesco <fcitta@inwind.it> wrote:
>
> Dear Listers:
> I am interested to use the Dynamic Conditional Correlation model of Engle.
> I am wondering if there is some paper or reference on if this topic and
> there is some kind of implementation in R.
> And how can I use multivariate GARCH in R?
> Tanks,
> Francesco Citta
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