Caporin, Massimiliano; Lucchetti, Riccardo; Palomba, Giulio - In: Journal of risk and financial management : JRFM 13 (2020) 3/49, pp. 1-21
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...