How to calculate the hessian???

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2 total messages Started by Daan Taks Mon, 21 Jan 2002 13:49

Author: Daan Taks
Date: Mon, 21 Jan 2002 13:49

11 lines
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In Excel I calculated a variance-covariance (Ht) (2*2) matrix using
the ADC model of Kroner and Ng (1998). Now I want to calculate the
standard errors of the parameters (16 in total) estimated by the
model. I know that I can do that by calculating the hessian, but how
to do that???
The log-likelihood function is as follows:
-0.5*log(determinant of Ht) - 0.5*E'*(inverse of Ht)* E
Where E is an 2*1 vector with return1 and return2 of stock indices.
How can I differentiate this log-likelihood function???
Help would be very appreciated!!!!!
Greetings Daan.

Re: How to calculate the hessian???

Author: Bruno Monastero
Date: Tue, 29 Jan 2002 18:17

15 lines
1971 bytes

"Daan Taks" <blackfiction@hotmail.com> wrote in message
news:3172868c.0201210549.66390229@posting.google.com...
> In Excel I calculated a variance-covariance (Ht) (2*2) matrix using
> the ADC model of Kroner and Ng (1998). Now I want to calculate the
> standard errors of the parameters (16 in total) estimated by the
> model. I know that I can do that by calculating the hessian, but how
> to do that???

Numerical Linear Algebra with Excel is a bad idea, unless you wrote a Linear
Algebra Pack from scratch, I saw determinants greater than zero in singular
matrix 2x2.

Best wishes,
Bruno

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