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National Repository of Grey Literature 2 records found  Search took 0.01 seconds. 
Multivariate Financial Time Series
 Veselý, Daniel ; Cipra, Tomáš (advisor) ; Kopa, Miloš (referee)
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.
Detailed record
Multivariate Financial Time Series
 Veselý, Daniel ; Cipra, Tomáš (advisor) ; Kopa, Miloš (referee)
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.
Detailed record

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