Modeling of Currency Covolatilities

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F19%3A10400158" target="_blank" >RIV/00216208:11320/19:10400158 - isvavai.cz</a>

Výsledek na webu

<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=5psXY4X~nh" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=5psXY4X~nh</a>

DOI - Digital Object Identifier

—

Jazyk výsledku

angličtina

Název v původním jazyce

Modeling of Currency Covolatilities

Popis výsledku v původním jazyce

The paper deals with dynamic modeling of currency portfolios. In contrast to univariate models of exchange rates and their returns one applies multivariate time series models of the type GARCH that are capable of capturing not only conditional heteroscedasticities (i.e. volatilities) but also conditional correlations for common movements of exchange rates (so called covolatilities). One makes use of recursive estimation algorithms suggested by authors for such models which enable to control, evaluate and manage currency investment portfolios in real time. The main task of the paper is to assess whether the recursive estimation procedures suggested by the authors are applicable for real currency portfolios. It is realized by performing an extensive numerical study for bivariate portfolios of the EU currencies and US dollar concentrating on the role of the Czech crown.

Název v anglickém jazyce

Modeling of Currency Covolatilities

Popis výsledku anglicky

The paper deals with dynamic modeling of currency portfolios. In contrast to univariate models of exchange rates and their returns one applies multivariate time series models of the type GARCH that are capable of capturing not only conditional heteroscedasticities (i.e. volatilities) but also conditional correlations for common movements of exchange rates (so called covolatilities). One makes use of recursive estimation algorithms suggested by authors for such models which enable to control, evaluate and manage currency investment portfolios in real time. The main task of the paper is to assess whether the recursive estimation procedures suggested by the authors are applicable for real currency portfolios. It is realized by performing an extensive numerical study for bivariate portfolios of the EU currencies and US dollar concentrating on the role of the Czech crown.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

10103 - Statistics and probability

Projekt

<a href="/cs/project/GA17-00676S" target="_blank" >GA17-00676S: Dynamické modely rizika ve financích a pojišťovnictví</a><br>

Návaznosti

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

Rok uplatnění

2019

Kód důvěrnosti údajů

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

Název periodika

Statistika

ISSN

0322-788X

e-ISSN

—

Svazek periodika

99

Číslo periodika v rámci svazku

3

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

13

Strana od-do

259-271

Kód UT WoS článku

000487285700003

EID výsledku v databázi Scopus

2-s2.0-85072678024