Community Profile

photo

Manthos Vogiatzoglou


Last seen: fast 4 Jahre vor |  Aktiv seit 2008

Kontakt

Professional Interests: computational finance - statistics

Statistiken

All
  • Thankful Level 2
  • Personal Best Downloads Level 2
  • First Review
  • 5-Star Galaxy Level 4
  • First Submission
  • Thankful Level 1

Abzeichen anzeigen

Content Feed

Anzeigen nach

Frage


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...

etwa 4 Jahre vor | 2 Antworten | 0

2

Antworten

Gesendet


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

mehr als 5 Jahre vor | 6 Downloads |

Thumbnail

Frage


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}...

mehr als 6 Jahre vor | 0 Antworten | 0

0

Antworten

Frage


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...

mehr als 6 Jahre vor | 1 Antwort | 0

1

Antwort

Gesendet


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

mehr als 9 Jahre vor | 49 Downloads |

Frage


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...

mehr als 10 Jahre vor | 0 Antworten | 0

0

Antworten

Frage


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...

mehr als 10 Jahre vor | 1 Antwort | 0

1

Antwort

Frage


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 ...

mehr als 12 Jahre vor | 1 Antwort | 0

1

Antwort

Frage


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 ...

fast 13 Jahre vor | 0 Antworten | 0

0

Antworten

Beantwortet
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) ...

etwa 13 Jahre vor | 0

Frage


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 ...

etwa 13 Jahre vor | 2 Antworten | 0

2

Antworten

Gesendet


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

mehr als 14 Jahre vor | 4 Downloads |

Gesendet


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

fast 15 Jahre vor | 3 Downloads |

Gesendet


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

mehr als 15 Jahre vor | 7 Downloads |

Thumbnail