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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

  • DOI - Digital Object Identifier

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

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

    BB - Applied statistics, operational research

  • OECD FORD branch

Result continuities

  • Project

  • 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

  • e-ISSN

  • 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