Caporin, M
Venerdì, 26 Febbraio 2021 11:14
Analytical Gradients of Dynamic Conditional Correlation Models
Written by Massimiliano CaporinAdditional Info
- 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/