Algorithm of Assessing Dynamic Correlation between Time Series Connected by TVP-Regression Model
The present research proposes algorithm of assessing dynamic correlation of time series connected by TVP-regression model. Topicality of this task is stipulated by the fact that this model often describes asset behavior on finance markets, while modeling of their correlation link over time could hel...
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| Main Authors: | , |
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| Format: | Article |
| Language: | Russian |
| Published: |
Plekhanov Russian University of Economics
2025-05-01
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| Series: | Вестник Российского экономического университета имени Г. В. Плеханова |
| Subjects: | |
| Online Access: | https://vest.rea.ru/jour/article/view/2291 |
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