Portfolio risk analysis : conditional estimates of value-at-risk and international volatility spillovers
In this thesis, we are concerned with the establishment of more accurate and easily implemented methods of modelling portfolio Value-at-Risk (VaR) . We establish this by taking the view that unconditional volatility estimates are inappropriate in VaR analysis. To provide the motivation and the justi...
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London Metropolitan University
1997
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| Online Access: | https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.363408 |