Another View on Conditional Correlations

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F13%3A10159001" target="_blank" >RIV/00216208:11320/13:10159001 - isvavai.cz</a>
Result on the web
<a href="http://iwsm2013.unipa.it/?cmd=home" target="_blank" >http://iwsm2013.unipa.it/?cmd=home</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Another View on Conditional Correlations
Original language description
The aim of the paper is to introduce an innovative approach to conditional covariance and correlation modelling, which is useful e.g. in the multivariate GARCH context. The suggested two-step method is based on the LDL decomposition of the conditional covariance matrix and state space modelling with the associated Kalman recursions. Together, they provide a dynamic orthogonal transformation of observed multivariate time series. This time-varying transformation indeed simplifies further (second step) conditional variance modelling of stochastic vector data due to their simultaneously uncorrelated elements.
Czech name
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Czech description
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Project
<a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>
Continuities
S - Specificky vyzkum na vysokych skolach

Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 28th International Workshop on Statistical Modelling
ISBN
978-88-96251-49-2
ISSN
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e-ISSN
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Number of pages
4
Pages from-to
631-634
Publisher name
Universita di Palermo, Italy
Place of publication
Palermo, Italy
Event location
Palermo, Italy
Event date
Jul 8, 2013
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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