Conditional correlation modelling: Simulation study
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F12%3A10125122" target="_blank" >RIV/00216208:11320/12:10125122 - 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
Conditional correlation modelling: Simulation study
Original language description
This contribution deals with a simulation analysis of time varying correlations. Several different approaches are assumed: the exponential smoothing, the moving averages, the technique based on the Cholesky decomposition with various types of estimatorsand Engle's dynamic conditional correlations models.
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
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Continuities
S - Specificky vyzkum na vysokych skolach
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 27th International Workshop on Statistical Modelling
ISBN
978-80-263-0251-3
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
151-156
Publisher name
Tribun EU
Place of publication
Brno
Event location
Praha
Event date
Jul 16, 2012
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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