Higher moment models for risk and portfolio management
This thesis considers specific topics related to the dynamic modelling and management of risk, with a particular emphasis on the generation of asymmetric and fat tailed behavior observed in practise. Specifically, extensions to the dynamics of the popular GARCH model, to capture time variation in hi...
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City University London
2012
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.564042 |