Multivariate Financial Time Series
| Autor: | Veselý, Daniel |
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| Přispěvatelé: | Cipra, Tomáš, Kopa, Miloš |
| Jazyk: | čeština |
| Rok vydání: | 2011 |
| Předmět: | |
| Popis: | In this work we will describe methods for modeling multivariate financial time series. We will concentrate on both modeling expected value by multi- variate Box-Jenkins processes and primarily on modeling conditional corre- lations and volatility. Our main object will be DCC (Dynamic Conditional Correlation) model, estimation of its parameters and some other general- izations. Then we will programme DCC model in statistical software R and apply on real data. In applications we will concentrate on problem of high dimension of financial time series and on modeling conditional correlations data with outliers. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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