Stock market correlation and investor attention
This thesis deals with three separate problems in �nance related to covariance. First, I assess the forecasting performance of popular multivariate GARCH, hybrid implied and realised covariance models in terms of statistical and economic criteria. I perform a rigorous analysis across major equity in...
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University of East Anglia
2017
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| Online Access: | https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.738649 |