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Identification of covariance structures

Lucchetti, Riccardo (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002417602

Identification of covariance structures

Lucchetti, Riccardo - In: Econometric theory 22 (2006) 2, pp. 235-257

Persistent link: https://www.econbiz.de/10003301230

Testing for state dependence in binary panel data with individual covariates by a modified quadratic exponential model

Bartolucci, Francesco; Nigro, Valentina; Pigini, Claudia - In: Econometric reviews 37 (2018) 1/5, pp. 61-88

Persistent link: https://www.econbiz.de/10012038137

Analytical gradients of dynamic conditional correlation models

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...

Persistent link: https://www.econbiz.de/10012174123

The spherical parametrisation for correlation matrices and its computational advantages

Lucchetti, Riccardo; Pedini, Luca - In: Computational economics 64 (2024) 2, pp. 1023-1046

Persistent link: https://www.econbiz.de/10015078073