Constructing an information matrix for multivariate DCC-MGARCH(1,1) method; ARPN Journal of Engineering and Applied Sciences; Vol. 13, № 8
| Parent link: | ARPN Journal of Engineering and Applied Sciences Vol. 13, № 8.— 2018.— [P. 2838-2845] |
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| Autor principal: | |
| Autor corporatiu: | |
| Altres autors: | , |
| Sumari: | Title screen The analytic form of Fisher Information Matrix (IM) for DCC-MGARCH (1, 1) was suggested. After that, it was applied for simplifying the general algorithm: the statistical hypothesis about constant correlation matrix usage was put forward and statistical verification was made. IM was employed for Russian share market: to do investigations the five equilibrium portfolios was compounded from four different shares in each case. Computations made showed that there are three types T1–T3 of trading days on the market and day type changing from T1 to T2 and vice versa is happening over the time moments T3. Moreover, the clustarisation effect of multivariate volatility that was investigated by scientists from all around the world in the univariate case was discovered and described. |
| Idioma: | anglès |
| Publicat: |
2018
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| Matèries: | |
| Accés en línia: | http://umkeprints.umk.edu.my/id/eprint/10487 |
| Format: | Electrònic Capítol de llibre |
| KOHA link: | https://koha.lib.tpu.ru/cgi-bin/koha/opac-detail.pl?biblionumber=666919 |
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| 200 | 1 | |a Constructing an information matrix for multivariate DCC-MGARCH(1,1) method |f E. A. Maleeva, O. L. Kritski, M. H. M. Amini | |
| 203 | |a Text |c electronic | ||
| 300 | |a Title screen | ||
| 320 | |a [References: 20 tit.] | ||
| 330 | |a The analytic form of Fisher Information Matrix (IM) for DCC-MGARCH (1, 1) was suggested. After that, it was applied for simplifying the general algorithm: the statistical hypothesis about constant correlation matrix usage was put forward and statistical verification was made. IM was employed for Russian share market: to do investigations the five equilibrium portfolios was compounded from four different shares in each case. Computations made showed that there are three types T1–T3 of trading days on the market and day type changing from T1 to T2 and vice versa is happening over the time moments T3. Moreover, the clustarisation effect of multivariate volatility that was investigated by scientists from all around the world in the univariate case was discovered and described. | ||
| 461 | |t ARPN Journal of Engineering and Applied Sciences | ||
| 463 | |t Vol. 13, № 8 |v [P. 2838-2845] |d 2018 | ||
| 610 | 1 | |a электронный ресурс | |
| 610 | 1 | |a труды учёных ТПУ | |
| 610 | 1 | |a fisher matrix | |
| 610 | 1 | |a multivariate conditional dynamic correlation DCC-MGARCH method | |
| 610 | 1 | |a матрица Фишера | |
| 610 | 1 | |a многомерные методы | |
| 700 | 1 | |a Maleeva |b E. A. |g Ekaterina Aleksandrovna | |
| 701 | 1 | |a Kritski |b O. L. |c mathematician |c Associate Professor of Tomsk Polytechnic University, Candidate of physical and mathematical sciences |f 1976- |g Oleg Leonidovich |3 (RuTPU)RU\TPU\pers\31888 |9 15960 | |
| 701 | 1 | |a Amini |b M. H. M. |g Mohd Hazim Mohamad | |
| 712 | 0 | 2 | |a Национальный исследовательский Томский политехнический университет |b Инженерная школа ядерных технологий |b Отделение экспериментальной физики |3 (RuTPU)RU\TPU\col\23549 |
| 801 | 2 | |a RU |b 63413507 |c 20220207 |g RCR | |
| 856 | 4 | |u http://umkeprints.umk.edu.my/id/eprint/10487 | |
| 942 | |c CF | ||