On conditional covariance modelling: An approach using state space models
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F16%3A10329024" target="_blank" >RIV/00216208:11320/16:10329024 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1016/j.csda.2014.09.019" target="_blank" >http://dx.doi.org/10.1016/j.csda.2014.09.019</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.csda.2014.09.019" target="_blank" >10.1016/j.csda.2014.09.019</a>
Alternative languages
Result language
angličtina
Original language name
On conditional covariance modelling: An approach using state space models
Original language description
A novel approach to conditional covariance modelling is introduced in the context of multivariate financial time series analysis. In particular, a class of multivariate generalized autoregressive conditional heteroscedasticity models is proposed. The suggested modelling technique is based on a specific dynamic orthogonal transformation derived by the LDL factorization of the conditional covariance matrix. An observed time series is transformed into a particular form that can be further treated by means of a discrete-time state space model under corresponding assumptions. The calibration can be performed by the associated Kalman recursive formulas, which are numerically effective. The introduced procedure has been investigated by extensive Monte Carlo experiments and empirical financial applications; it has been compared with other methods commonly used in this framework. The outlined methodology has demonstrated its capabilities, and it seems to be at least competitive in this field of research.
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BA - General mathematics
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
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Computational Statistics and Data Analysis
ISSN
0167-9473
e-ISSN
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Volume of the periodical
2016
Issue of the periodical within the volume
100
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
14
Pages from-to
304-317
UT code for WoS article
000378368100019
EID of the result in the Scopus database
2-s2.0-84979729497