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Manthos Vogiatzoglou


Last seen: 7 maanden ago
14 total contributions since 2008

Professional Interests: computational finance - statistics

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Question


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...

8 maanden ago | 2 answers | 0

2

answers

Submitted


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

meer dan 2 jaar ago | 8 downloads |

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Question


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}...

bijna 3 jaar ago | 0 answers | 0

0

answers

Question


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...

meer dan 3 jaar ago | 1 answer | 0

1

answer

Submitted


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

bijna 6 jaar ago | 24 downloads |

Question


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...

meer dan 7 jaar ago | 0 answers | 0

0

answers

Question


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...

meer dan 7 jaar ago | 1 answer | 0

1

answer

Question


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 ...

bijna 9 jaar ago | 1 answer | 0

1

answer

Question


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 ...

meer dan 9 jaar ago | 0 answers | 0

0

answers

Answered
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) ...

bijna 10 jaar ago | 0

Question


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 ...

bijna 10 jaar ago | 2 answers | 0

2

answers

Submitted


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

ongeveer 11 jaar ago | 1 download |

Submitted


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

meer dan 11 jaar ago | 4 downloads |

Submitted


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

ongeveer 12 jaar ago | 2 downloads |

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