Different approaches to dynamic conditional correlation modelling: the case of European currencies
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F12%3A10125120" target="_blank" >RIV/00216208:11320/12:10125120 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Different approaches to dynamic conditional correlation modelling: the case of European currencies
Original language description
The analysis of time varying conditional correlation structures seems to be a significantly important part of multivariate time series modelling, particularly from the (practical) financial or economic point of view. In~2002, Robert Engle published an innovative concept in the framework of this issue. A simple class of multivariate autoregressive conditional heteroskedasticity models, the so-called dynamic conditional correlation models were introduced. Thereafter, these techniques have been examined and adjusted in many different theoretical or empirical ways. In the contribution, several various approaches to modelling the dynamic conditional correlations originally based on Engle's idea are reviewed and discussed. Some of their pros and cons are mentioned and demonstrated. Finally, the comparison of their performance is shown in the study of the portfolio of the European currencies and their correlation links. All the relevant procedures are implemented in the statistical software R
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Proceedings of the 30th International Conference on Mathematical Methods in Economics 2012
ISBN
978-80-7248-779-0
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
272-277
Publisher name
Silesian University in Opava
Place of publication
Karviná, Czech Republic
Event location
Karviná, Czech Republic
Event date
Sep 11, 2012
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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