Community Profile Manthos Vogiatzoglou

13 total contributions since 2008

Professional Interests: computational finance - statistics

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Submitted

Regime Switching Copula (RSC) toolbox
Functions to simulate and estimate regime switching copula models (bivariate data, only two regimes)

1 year ago | 10 downloads | Question

regression with ARMA_GARCH errors
I want to estimate a regression model with ARMA(3,3) - GARCH(1,1) errors: y_t = bX_t + e_t e_t = a_1e_{t-1}+...+a_3e_{t-3}...

2 years ago | 0 answers | 0

0

Question

Strange behavior of fmincon when analytical gradient is supplied
Dear all I want to find the minimum of a log likelihood function of the form [f,gr_f] = mylogl(theta, data) subjec...

2 years ago | 1 answer | 0

1

Submitted

Dynamic Copula Toolbox 3.0
Functions to estimate copula GARCH and copula Vine models.

5 years ago | 25 downloads |

Question

problem in compiling a file
Dear all I am trying to use glasso for matlab, downloaded from: http://www-stat.stanford.edu/~tibs/glasso/ . I unzipped the f...

6 years ago | 0 answers | 0

0

Question

error in mexing a file from external source
Dear all I am trying to use glasso for matlab, downloaded from: http://www-stat.stanford.edu/~tibs/glasso/ . I unzipped th...

6 years ago | 1 answer | 0

1

Question

nonlinear programming - first order conditions
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 ...

8 years ago | 1 answer | 0

1

Question

standard errors
I have to solve the following optimization problem: maxf(S), (f is a multivariate log likelihood) subject to: S>0 (since S is ...

8 years ago | 0 answers | 0

0

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

8 years ago | 0

Question

Strange error in fmincon with nonlinear constraints
Hello all my optimization problem is as follows: function fval = myfunc(theta,data,spec) % the objective function defined ...

8 years ago | 2 answers | 0

2

Submitted

Dynamic Copula Toolbox 2.0
functions to estimates various copula models via MLE

10 years ago | 3 downloads |

Submitted

Dynamic Copula Toolbox version 1
Estimation and simulation of Copula - GARCH and Copula Vines

10 years ago | 5 downloads |

Submitted

CVaR optimization
The file provides scripts and functions to estimate the optimal portfolio by minimizing CVaR

11 years ago | 3 downloads | 