Manthos Vogiatzoglou
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Professional Interests: computational finance - statistics
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질문
creating new fields in multiple structures with loops
Hi all I have some data in the form of structures, eg strA, strB e.t.c. All structures have the same fields, let's say f1 and f...
대략 4년 전 | 답변 수: 2 | 0
2
답변제출됨
Regime Switching Copula (RSC) toolbox
Functions to simulate and estimate regime switching copula models (bivariate data, only two regimes)
5년 초과 전 | 다운로드 수: 6 |
질문
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}...
6년 초과 전 | 답변 수: 0 | 0
0
답변질문
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...
6년 초과 전 | 답변 수: 1 | 0
1
답변제출됨
Dynamic Copula Toolbox 3.0
Functions to estimate copula GARCH and copula Vine models.
9년 초과 전 | 다운로드 수: 42 |
질문
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...
거의 11년 전 | 답변 수: 0 | 0
0
답변질문
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...
거의 11년 전 | 답변 수: 1 | 0
1
답변질문
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 ...
12년 초과 전 | 답변 수: 1 | 0
1
답변질문
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 ...
거의 13년 전 | 답변 수: 0 | 0
0
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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) ...
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) ...
대략 13년 전 | 0
질문
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 ...
대략 13년 전 | 답변 수: 2 | 0
2
답변제출됨
Dynamic Copula Toolbox 2.0
functions to estimates various copula models via MLE
14년 초과 전 | 다운로드 수: 4 |
제출됨
Dynamic Copula Toolbox version 1
Estimation and simulation of Copula - GARCH and Copula Vines
거의 15년 전 | 다운로드 수: 2 |
제출됨
CVaR optimization
The file provides scripts and functions to estimate the optimal portfolio by minimizing CVaR
15년 초과 전 | 다운로드 수: 4 |