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Statements

Subject Item
n2:RIV%2F00216208%3A11320%2F12%3A10125120%21RIV13-GA0-11320___
rdf:type
n13:Vysledek skos:Concept
dcterms:description
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. 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.
dcterms:title
Different approaches to dynamic conditional correlation modelling: the case of European currencies Different approaches to dynamic conditional correlation modelling: the case of European currencies
skos:prefLabel
Different approaches to dynamic conditional correlation modelling: the case of European currencies Different approaches to dynamic conditional correlation modelling: the case of European currencies
skos:notation
RIV/00216208:11320/12:10125120!RIV13-GA0-11320___
n13:predkladatel
n14:orjk%3A11320
n3:aktivita
n4:P
n3:aktivity
P(GBP402/12/G097)
n3:dodaniDat
n11:2013
n3:domaciTvurceVysledku
n5:2780895
n3:druhVysledku
n22:D
n3:duvernostUdaju
n8:S
n3:entitaPredkladatele
n19:predkladatel
n3:idSjednocenehoVysledku
131235
n3:idVysledku
RIV/00216208:11320/12:10125120
n3:jazykVysledku
n20:eng
n3:klicovaSlova
European currencies; cDCC; DCC; dynamic correlations; conditional covariance; multivariate financial time series
n3:klicoveSlovo
n12:European%20currencies n12:dynamic%20correlations n12:DCC n12:cDCC n12:conditional%20covariance n12:multivariate%20financial%20time%20series
n3:kontrolniKodProRIV
[C7B5116EE2AC]
n3:mistoKonaniAkce
Karviná, Czech Republic
n3:mistoVydani
Karviná, Czech Republic
n3:nazevZdroje
Proceedings of the 30th International Conference on Mathematical Methods in Economics 2012
n3:obor
n16:BB
n3:pocetDomacichTvurcuVysledku
1
n3:pocetTvurcuVysledku
1
n3:projekt
n18:GBP402%2F12%2FG097
n3:rokUplatneniVysledku
n11:2012
n3:tvurceVysledku
Hendrych, Radek
n3:typAkce
n15:WRD
n3:zahajeniAkce
2012-09-11+02:00
s:numberOfPages
6
n10:hasPublisher
Slezská univerzita v Opavě
n9:isbn
978-80-7248-779-0
n7:organizacniJednotka
11320