BAUWENS, Luc; GRIGORYEVA, Lyudmila; ORTEGA, Juan-Pablo - Center for Operations Research and Econometrics (CORE), … - 2014
This paper presents a method capable of estimating richly parametrized versions of the dynamic conditional correlation (DCC) model that go beyond the standard scalar case. The algorithm is based on the maximization of a Gaussian quasi-likelihood using a Bregman-proximal trust-region method to...