Different approaches to dynamic conditional correlation modelling: the case of European currencies

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F12%3A10125120" target="_blank" >RIV/00216208:11320/12:10125120 - isvavai.cz</a>

Výsledek na webu

—

DOI - Digital Object Identifier

—

Jazyk výsledku

angličtina

Název v původním jazyce

Different approaches to dynamic conditional correlation modelling: the case of European currencies

Popis výsledku v původním jazyce

The analysis of time varying conditional correlation structures seems to be a significantly important part of multivariate time series modelling, particularly from the (practical) financial or economic point of view. In~2002, Robert Engle published an innovative concept in the framework of this issue. A simple class of multivariate autoregressive conditional heteroskedasticity models, the so-called dynamic conditional correlation models were introduced. Thereafter, these techniques have been examined and adjusted in many different theoretical or empirical ways. In the contribution, several various approaches to modelling the dynamic conditional correlations originally based on Engle's idea are reviewed and discussed. Some of their pros and cons are mentioned and demonstrated. Finally, the comparison of their performance is shown in the study of the portfolio of the European currencies and their correlation links. All the relevant procedures are implemented in the statistical software R

Název v anglickém jazyce

Different approaches to dynamic conditional correlation modelling: the case of European currencies

Popis výsledku anglicky

The analysis of time varying conditional correlation structures seems to be a significantly important part of multivariate time series modelling, particularly from the (practical) financial or economic point of view. In~2002, Robert Engle published an innovative concept in the framework of this issue. A simple class of multivariate autoregressive conditional heteroskedasticity models, the so-called dynamic conditional correlation models were introduced. Thereafter, these techniques have been examined and adjusted in many different theoretical or empirical ways. In the contribution, several various approaches to modelling the dynamic conditional correlations originally based on Engle's idea are reviewed and discussed. Some of their pros and cons are mentioned and demonstrated. Finally, the comparison of their performance is shown in the study of the portfolio of the European currencies and their correlation links. All the relevant procedures are implemented in the statistical software R

Druh

D - Stať ve sborníku

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

—

Projekt

<a href="/cs/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamické modely v ekonomii</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2012

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

Proceedings of the 30th International Conference on Mathematical Methods in Economics 2012

ISBN

978-80-7248-779-0

ISSN

—

e-ISSN

—

Počet stran výsledku

6

Strana od-do

272-277

Název nakladatele

Silesian University in Opava

Místo vydání

Karviná, Czech Republic

Místo konání akce

Karviná, Czech Republic

Datum konání akce

11. 9. 2012

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

—