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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

  • DOI - Digital Object Identifier

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

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

    BB - Applied statistics, operational research

  • OECD FORD branch

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

  • e-ISSN

  • 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