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)

The Omega performance measure introduced by Keating and Shadwick (2002a, 2002b) is widely used in asset allocation and performance measurement. We contribute to the debates around this measure by focusing on its relation and compatibility with Second-order Stochastic Dominance, introducing two...