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Manthos Vogiatzoglou


Last seen: oltre 4 anni fa |  Attivo dal 2008

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Professional Interests: computational finance - statistics

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Domanda


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...

oltre 4 anni fa | 2 risposte | 0

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Regime Switching Copula (RSC) toolbox
Functions to simulate and estimate regime switching copula models (bivariate data, only two regimes)

circa 6 anni fa | 3 download |

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Domanda


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}...

quasi 7 anni fa | 0 risposte | 0

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risposte

Domanda


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...

circa 7 anni fa | 1 risposta | 0

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risposta

Inviato


Dynamic Copula Toolbox 3.0
Functions to estimate copula GARCH and copula Vine models.

quasi 10 anni fa | 12 download |

Domanda


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...

circa 11 anni fa | 0 risposte | 0

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risposte

Domanda


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...

circa 11 anni fa | 1 risposta | 0

1

risposta

Domanda


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 ...

quasi 13 anni fa | 1 risposta | 0

1

risposta

Domanda


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 ...

circa 13 anni fa | 0 risposte | 0

0

risposte

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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) ...

oltre 13 anni fa | 0

Domanda


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 ...

oltre 13 anni fa | 2 risposte | 0

2

risposte

Inviato


Dynamic Copula Toolbox 2.0
functions to estimates various copula models via MLE

quasi 15 anni fa | 1 download |

Inviato


Dynamic Copula Toolbox version 1
Estimation and simulation of Copula - GARCH and Copula Vines

oltre 15 anni fa | 2 download |

Inviato


CVaR optimization
The file provides scripts and functions to estimate the optimal portfolio by minimizing CVaR

circa 16 anni fa | 2 download |

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