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Another view on time-varying correlations: The case of stocks and bonds

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F13%3A10158999" target="_blank" >RIV/00216208:11320/13:10158999 - isvavai.cz</a>

  • Result on the web

    <a href="https://mme2013.vspj.cz/about-conference/conference-proceedings" target="_blank" >https://mme2013.vspj.cz/about-conference/conference-proceedings</a>

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    Another view on time-varying correlations: The case of stocks and bonds

  • Original language description

    The aim of the contribution is to introduce an innovative approach to conditional covariance and correlation modelling. This can be obviously useful in multivariate financial time series analysis, e.g. in the multivariate GARCH context. The proposed method consists of two steps. The first one is based on the LDL factorization of the conditional covariance matrix, state space modelling and associated Kalman recursions. Moreover, it is able to deliver a dynamic orthogonal transformation of given stochastic vector data. The second step of the suggested technique analyses conditional covariances of transformed time series which is indeed simplified due to its simultaneously uncorrelated components. In the paper, performance of the introduced procedure is tested in an empirical financial framework. Namely, the daily correlation links between logarithmic returns on stocks and bonds are investigated and compared with other estimated dynamic correlations gained by several common methods, e.g.

  • 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

    2013

  • 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 31st International Conference Mathematical Methods in Economics 2013

  • ISBN

    978-80-87035-76-4

  • ISSN

  • e-ISSN

  • Number of pages

    6

  • Pages from-to

    249-254

  • Publisher name

    College of Polytechnics Jihlava

  • Place of publication

    Jihlava

  • Event location

    Jihlava

  • Event date

    Sep 11, 2013

  • Type of event by nationality

    WRD - Celosvětová akce

  • UT code for WoS article