Vybrané přístupy pro zpracování mnohorozměrných časových řad ve financích
In the present work, we study ARMA model at the beginning, then we write about one-dimensional and multivariate ARCH and GARCH model, further we move on to the multivariate GARCH model. At the end, the principal component decomposition is introduced, it is a procedure to reduce the number of paramet...
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| Format: | Dissertation |
| Language: | Czech |
| Published: |
2009
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| Online Access: | http://www.nusl.cz/ntk/nusl-282488 |