Rank: 1023 based on 123 downloads (last 30 days) and 4 files submitted
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Manthos Vogiatzoglou

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computational finance - statistics

 

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Files Posted by Manthos View all
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(last 30 days)
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14 Nov 2010 Dynamic Copula Toolbox 3.0 Functions to estimate copula GARCH and copula Vine models. Author: Manthos Vogiatzoglou dependence, garch, copula vines, financial econometric..., copulas, toolbox 50 10
  • 4.625
4.6 | 9 ratings
21 Oct 2009 Dynamic Copula Toolbox 2.0 functions to estimates various copula models via MLE Author: Manthos Vogiatzoglou copula garch, copula vines, gaussian copula graph..., toolbox 15 0
09 Jun 2009 Dynamic Copula Toolbox version 1 Estimation and simulation of Copula - GARCH and Copula Vines Author: Manthos Vogiatzoglou copulas, vines, dynamic dependence, log likelihood, toolbox 12 0
26 Aug 2008 Screenshot CVaR optimization The file provides scripts and functions to estimate the optimal portfolio by minimizing CVaR Author: Manthos Vogiatzoglou finance, modeling, analysis, market risk, conditional value at ..., expected shortfall 46 5
  • 5.0
5.0 | 4 ratings
Comments and Ratings by Manthos View all
Updated File Comments Rating
13 Nov 2010 Dynamic Copula Toolbox 3.0 Functions to estimate copula GARCH and copula Vine models. Author: Manthos Vogiatzoglou

Dear Stee

Sorry for the inconvenience. I just forgot to add the hessian_2sided function to the toolbox. I will fix it tomorrow. Thanks for the rating and comments

14 Nov 2008 Tips & Tricks: Getting started using optimization with MATLAB Demo files from the August 21, 2008 Webinar Author: Stuart Kozola

Great webinar!

Comments and Ratings on Manthos' Files View all
Updated File Comment by Comments Rating
13 Jul 2014 Dynamic Copula Toolbox 3.0 Functions to estimate copula GARCH and copula Vine models. Author: Manthos Vogiatzoglou Nedyalkov, Atanas

Awesome job

10 Dec 2013 Dynamic Copula Toolbox 3.0 Functions to estimate copula GARCH and copula Vine models. Author: Manthos Vogiatzoglou zhu

so helpful!thanks a lot!

16 Apr 2013 CVaR optimization The file provides scripts and functions to estimate the optimal portfolio by minimizing CVaR Author: Manthos Vogiatzoglou Yaman, Alper

Thanks for this code. Are you planning to implement CVaR constraints (BuyCost, SellCost, BuyTurnover, SellTurnover, RiskFreeRate, UpperBudget, LowerBudget etc.)?

24 Oct 2012 Dynamic Copula Toolbox 3.0 Functions to estimate copula GARCH and copula Vine models. Author: Manthos Vogiatzoglou Emilien

02 May 2012 Dynamic Copula Toolbox 3.0 Functions to estimate copula GARCH and copula Vine models. Author: Manthos Vogiatzoglou Yin

I found out by myself ,sorry to disturb u.
Anyway, it is really a good and helpful toolbox!!!
Thanks for the Author!

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