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Friday, 26 February 2021 11:14

Analytical Gradients of Dynamic Conditional Correlation Models

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Caporin, M

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  • File: Link
  • Published in: JOURNAL OF RISK AND FINANCIAL MANAGEMENT
  • Year: 2020
  • Abstract: In this note we provide the analytical gradient of the full model likelihood of the DCC specification of Engle (2002), the generalized version of Cappiello et al. (2006), and of the cDCC model of Aielli (2008).
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Massimiliano Caporin

Professor in Econometrics - University of Padua

GRETA Associate, Scientific Committee and Director of the Area Investment & Financial Advisory

https://homes.stat.unipd.it/massimilianocaporin/

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