URL: http://cran.r-project.org/web/packages/bayesDccGarch, https://github.com/jafiorucci/bayesDccGarch
This R package provides functions for Bayesian estimation of Dynamic
Conditional Correlation (DCC) GARCH models using the same modelling
approach of Fioruci, Ehlers and Andrade (2014).
Several probability distributions are available for the
errors which can model both skewness and heavy tails.