Essays on forecasting the multivariate variance-covariance matrix
This thesis is concerned with forecasting the variance covariance matrix (VCM) for a range of financial assets and investigating whether combining the elements of such forecasts result in more accurate predictions of portfolio volatility than those obtained from univariate models of aggregate volati...
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University of Manchester
2011
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.553360 |