Analytical Gradients of Dynamic Conditional Correlation models

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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Year of publication:	2011
Authors:	Caporin, Massimiliano
Publisher:	[2011]: [S.l.] : SSRN
Subject:	ARCH-Modell \| ARCH model \| Korrelation \| Correlation \| Theorie \| Theory

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Extent:	1 Online-Ressource (15 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 10, 2011 erstellt
Other identifiers:	10.2139/ssrn.1729765 [DOI]
Classification:	C10 - Econometric and Statistical Methods: General. General ; C13 - Estimation ; C32 - Time-Series Models ; C50 - Econometric Modeling. General
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013132023