This article investigates the impact of macroeconomic fundamentals on the valuation of non-negative equity guarantee (NNEG) of equity release mortgages. The house price returns are modelled within the family of multiplicative volatility processes using a two-component GARCH-MIDAS model. The...

A method capable of estimating richly parametrized versions of the dynamic conditional correlation (DCC) model that go beyond the standard scalar case is presented. The algorithm is based on the maximization of a Gaussian quasi-likelihood using a Bregman-proximal trust-region method that handles...