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
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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
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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
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
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e-ISSN
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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
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