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Analytical Gradients of Dynamic Conditional Correlation models

15 Pages Posted: 22 Jan 2011 Last revised: 14 Jun 2011

See all articles by Massimiliano Caporin

Massimiliano Caporin

University of Padua - Department of Statistical Sciences

Date Written: June 10, 2011

Abstract

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).

Keywords: DCC, cDCC, analytical gradient

JEL Classification: C10, C13, C32, C50

Suggested Citation

Caporin, Massimiliano, Analytical Gradients of Dynamic Conditional Correlation models (June 10, 2011). Available at SSRN: https://ssrn.com/abstract=1729765 or http://dx.doi.org/10.2139/ssrn.1729765

Massimiliano Caporin (Contact Author)

University of Padua - Department of Statistical Sciences ( email )

Via Battisti, 241
Padova, 35121
Italy

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