vdR {ccgarch} | R Documentation |
This function computes partial derivatives of the CCC matrix with respect to its correlation coefficients.
vdR(n)
n |
the number of dimension of the model |
a matrix of zeros and ones ( (N(N-1))/2 times N^{2} )
Nakatani, T. and T. er"{a}svirta (2008), “Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model”, Econometrics Journal, forthcoming.
Nakatani, T. and T. Ter"{a}svirta (2008), “Appendix to Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model” Department of Economic Statistics, Stockholm School of Economics, available at http://swopec.hhs.se/hastef/abs/hastef0649.htm.