We provide the analytical gradient of the full model likelihood for the Dynamic Conditional Correlation (DCC) specification by Engle (2002), the generalised version by Cappiello et al. (2006), and of the cDCC model by Aielli(2013). We discuss how the gradient might be further extended by introducing elements related to the conditional variance parameters, and discuss the issue arising from the estimation of constrained and/or reparametrised versions of the model. A computational simulation compares analytical versus numerical gradients, with a view to parameter
Analytical Gradients of Dynamic Conditional Correlation Models / Caporin, Massimiliano; Lucchetti, Riccardo; Palomba, Giulio. - In: JOURNAL OF RISK AND FINANCIAL MANAGEMENT. - ISSN 1911-8074. - ELETTRONICO. - 13:3(2020), pp. 49-70. [10.3390/jrfm13030049]
Analytical Gradients of Dynamic Conditional Correlation Models
Riccardo Lucchetti;Giulio Palomba
2020-01-01
Abstract
We provide the analytical gradient of the full model likelihood for the Dynamic Conditional Correlation (DCC) specification by Engle (2002), the generalised version by Cappiello et al. (2006), and of the cDCC model by Aielli(2013). We discuss how the gradient might be further extended by introducing elements related to the conditional variance parameters, and discuss the issue arising from the estimation of constrained and/or reparametrised versions of the model. A computational simulation compares analytical versus numerical gradients, with a view to parameterI documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
