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Professional Interests: computational finance - statistics

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Functions to estimate copula GARCH and copula Vine models.

43 downloads

2 years ago

The input arguments in myfunc and myconstr should(?) be identical. I changed myconstr to [c, ceq] = myconstr(theta, data, spec) ...

0

Answered 5 years ago

Hello all my optimization problem is as follows: function fval = myfunc(theta,data,spec) % the objective function defined ...

2 Answers

Asked 5 years ago

Dear John thanks for the prompt reply. My function is a likelihood function, therefore I have to pass to the function the data ...

17308 views

Responded 6 years ago

Dear all s however it does not say if there is a function that does exactly that. Does anyboby know the name of this function,...

Posted 6 years ago

I do not know if this would help but when I had a similar problem Peter Perkins from mathworks suggested that the numerical Hess...

13443 views

Dear all I am trying to use glasso for matlab, downloaded from: http://www-stat.stanford.edu/~tibs/glasso/ . I unzipped th...

1 Answers

Asked 3 years ago

Hi all I want to solve the following problem: max: f(x)=x'Ax+b'x, where x=[x1;x2;x3], A=[2 -5 -10;-5 3 -5;-10 -5 4] and ...

copula - GARCH models are not supported, yet, from the statistics or the econometrics toolbox in MATLAB. You can try my toolbox ...

7566 views

Responded 7 years ago

Steven thank you for the very helpfull comment. I have exactly the same problem as Marco, however my constraints are linear ther...

5742 views

I will upload a toolbox named dynamic copula toolbox later today (25/09/2009) for a description use the command it estimates ...

5178 views

I use fminunc to optimize a function (a multivariate likelihood). The optimization starts, and after a few iterations I get the ...

4844 views

Posted 7 years ago

For using the symbolic toolbox for matrix calculus one has to know the symbolic exprsession of each element in the symbolic matr...

4698 views

Hello Can anyone tell me if there is a toolbox for symbolic matrix calculus available? I have searched in MATLAB central with n...

12 downloads

8 years ago

Hi all I want to write routines that estimate the parameters of a multivariate regime switching model, with the EM algorithm. If...

4014 views

Godambe information matrix is the covariance matrix of the estimation error of a parameters vector theta, when the distribution ...

3663 views

Can anyone help me on this error message? My options: options = optimset('Algorithm','interior-point','Display','iter','MaxFun...

3484 views

I am guessing that what you get is the variance covariance matrix. If so, the standard errors are the square root of the main di...

3394 views

the only thing that concerns me Alan is the issue with passing the extra hessian parameters to optimset. The issue on the object...

3255 views

Dear Alan Thanx for keep trying to help me. The only reason I tried this... function handle option is because you and I thing L...

unfortunately my options don't work... the objective function is: [logl, gradient, hessian, out] = AR_GARCHlogl(theta, data, di...

Dear Alan Thanks for the reply, sorry for missing your other post. Q1 and Q3 are clear but I am still note sure about Q2 (decla...

Dear all There are some issues in optimization with user - supplied derivatives I couldn't clarify from the documentation and I...

hi I try to estimate the multivariate normal cdf for a matrix with size 1700x40. The command is: y=mvncdf(data,[],cov); and I g...

3224 views

Hi, all The econometrics toolbox estimates GARCH models however I could find anywhere details about the estimation, like: 1. T...

2669 views

Dear all I am having some problems using varargout.I red the documentation but it seems that I am missing something. This is my...

2623 views

I want to estimate a function (a multivariate log-likelihood) subject to some linear and non-linear constraints. The function is...

2581 views

I am interested in calculating analytical gradient and hessian of some multivariate likelihoods. To do this, matrix calculus kno...

2563 views

I use fminunc to optimize a function and the following error appears: ??? Error using ==> roots at 28 Input to ROOTS must not c...

2511 views

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