Economic Analysis: Theory and Practice

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Economic Analysis: Theory and Practice

39(294) - 2012 October

Model of dynamic correlations: common application to study of financial markets

Vol. 11, Iss. 39, OCTOBER 2012

Available online: 24 October 2012

Subject Heading: ECONOMIC-MATHEMATICAL MODELING

JEL Classification:

Trifonov А.Y. Doctor of Physical and Mathematical Sciences, Professor, Head of department “Mathematics and Mathematical Physics”, the Tomsk Polytechnic University
trifonov@tpu.ru

Kricky О.L. PhD of Physical and Mathematical Sciences, Professor, Head of department “Mathematics and Mathematical Physics”, the Tomsk Polytechnic University

Belsner О.А. Senior Lecturer of department «Mathematics and Mathematical Physics”, the Tomsk Polytechnic University
belsner@tpu.ru

The authors proposed a generalized model of dynamic conditional correlations. Its application to research and forecasting of values of quotations in the financial markets in low and high volatility is considered

Keywords: conditional heteroscedasticity, correlation and volatility, multidimensional model GARCH

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ISSN 2311-8725 (Online)
ISSN 2073-039X (Print)

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