Original title: Dynamic conditional correlation models and their application to portfolio risk mitigation
Translated title: Modely dynamické podmíněné korelace a jejich aplikace při mitigaci rizika portfolia
Authors: Ševčík, Martin ; Frýd, Lukáš (advisor) ; Nevrla, Matěj (referee)
Document type: Bachelor's theses
Year: 2017
Language: eng
Publisher: Vysoká škola ekonomická v Praze
Abstract: [eng] [cze]

Keywords: ADCC; DCC; GARCH; GJR GARCH; HE index; Hedge ratio; OLS; VaR; ADCC; DCC; GARCH; GJR GARCH; HE index; Hedge ratio; MNČ; VaR

Institution: University of Economics, Prague (web)
Document availability information: Available in the digital repository of the University of Economics, Prague.
Original record: http://www.vse.cz/vskp/eid/70305

Permalink: http://www.nusl.cz/ntk/nusl-359632


The record appears in these collections:
Universities and colleges > Public universities > University of Economics, Prague
Academic theses (ETDs) > Bachelor's theses
 Record created 2017-08-02, last modified 2017-08-03


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