thank you very much for your prompt reply!
If you don't mind, I would have some more technical questions on dccfit:
1. how can I access the results of the VAR estimation from a dccfit object?
2. what type of values are required by the "series" and "which" arguments
of the "plot" method?
3. (this is only for the sake of understanding) the SE are still QMLE
robust following white (1982)?
4. you write
"When using a constant or AR model with DCC based models,standard errors
are calculated for all first stage parameters using a partitioned standard
error matrix. In the case of a VAR model, this joint estimation of standard
errors is not practical due to the dimensionality of the system" So how are
Thank you very much for your help!
With my best regards,