Rank: 664 based on 104 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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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 39 6
  • 4.4
4.4 | 5 ratings
21 Oct 2009 Dynamic Copula Toolbox 2.0 functions to estimates various copula models via MLE Author: Manthos Vogiatzoglou copula vines, copula garch, gaussian copula graph... 13 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 5 0
26 Aug 2008 Screenshot CVaR optimization The file provides scripts and functions to estimate the optimal portfolio by minimizing CVaR Author: Manthos Vogiatzoglou analysis, conditional value at ..., market risk, finance, modeling, expected shortfall 47 4
  • 5.0
5.0 | 3 ratings
Comments and Ratings by Manthos View all
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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!
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29 Aug 2011 Dynamic Copula Toolbox 3.0 Functions to estimate copula GARCH and copula Vine models. Author: Manthos Vogiatzoglou yang, charles

Dear Author,
Thanks for your work, now I meet a problem with FitModel.m as:
[parameters, LogL, evalmodel, GradHess, varargout] = fitModel(spec, out1, fminunc)
??? Error using ==> fminunc at 156
FMINUNC requires two input arguments.

I am still confusing with the data input way, because I already transformed the stock return into empirical CDF through empirical.m in out1 and just put out1 instead of data in the FitModel.m function, you see the error comes out as FMINUNC requires two input arguments. So could you show me how to input the data in a correct way?

24 Aug 2011 CVaR optimization The file provides scripts and functions to estimate the optimal portfolio by minimizing CVaR Author: Manthos Vogiatzoglou Mescall, Liam

Very helpful.Thanks
16 Aug 2011 Dynamic Copula Toolbox 3.0 Functions to estimate copula GARCH and copula Vine models. Author: Manthos Vogiatzoglou Behdad
26 Jul 2011 Dynamic Copula Toolbox 3.0 Functions to estimate copula GARCH and copula Vine models. Author: Manthos Vogiatzoglou yu, wenhua

nice work! this program help me a lot~~~
26 Jul 2011 Dynamic Copula Toolbox 3.0 Functions to estimate copula GARCH and copula Vine models. Author: Manthos Vogiatzoglou Paula

Dear author,
Just correcting my first comment above: I was not able to estimate a vine copula sequentially using “modelspec” (and the menu) and “fitModel” after that. I had to use “SeqFitCopVine.m” instead of “fitModel” and this is not specified in the Tutorial.
Thanks again.
Top Tags Applied by Manthos
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copula vines, copulas, analysis, conditional value at risk, copula garch
Files Tagged by Manthos View all
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Updated   File Tags Downloads
(last 30 days) 		Comments Rating
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 39 6
  • 4.4
4.4 | 5 ratings
21 Oct 2009 Dynamic Copula Toolbox 2.0 functions to estimates various copula models via MLE Author: Manthos Vogiatzoglou copula vines, copula garch, gaussian copula graph... 13 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 5 0
26 Aug 2008 Screenshot CVaR optimization The file provides scripts and functions to estimate the optimal portfolio by minimizing CVaR Author: Manthos Vogiatzoglou analysis, conditional value at ..., market risk, finance, modeling, expected shortfall 47 4
  • 5.0
5.0 | 3 ratings

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