Modelling conditional covariances with orthogonal factor models

The recent sub prime crisis has resulted in an increased focus on risk management and monitoring in the financial industry. One of the essential components of risk management and monitoring is a reliable ex-ante covariance matrix of various financial time series. Therefore a reliable model which can...

Full description

Bibliographic Details
Main Author:	Jensen, Tracy
Other Authors:	Haines, Linda
Format:	Dissertation
Language:	English
Published:	University of Cape Town 2015
Subjects:	Mathematics of Finance
Online Access:	http://hdl.handle.net/11427/10951

id	ndltd-netd.ac.za-oai-union.ndltd.org-uct-oai-localhost-11427-10951
record_format	oai_dc
spelling	ndltd-netd.ac.za-oai-union.ndltd.org-uct-oai-localhost-11427-109512020-10-06T05:10:54Z Modelling conditional covariances with orthogonal factor models Jensen, Tracy Haines, Linda Mathematics of Finance The recent sub prime crisis has resulted in an increased focus on risk management and monitoring in the financial industry. One of the essential components of risk management and monitoring is a reliable ex-ante covariance matrix of various financial time series. Therefore a reliable model which can handle a large number of time series is required to calculate an ex-ante or conditional covariance matrix. 2015-01-02T09:03:50Z 2015-01-02T09:03:50Z 2011 Master Thesis Masters MSc http://hdl.handle.net/11427/10951 eng application/pdf University of Cape Town Faculty of Science Department of Mathematics and Applied Mathematics
collection	NDLTD
language	English
format	Dissertation
sources	NDLTD
topic	Mathematics of Finance
spellingShingle	Mathematics of Finance Jensen, Tracy Modelling conditional covariances with orthogonal factor models
description	The recent sub prime crisis has resulted in an increased focus on risk management and monitoring in the financial industry. One of the essential components of risk management and monitoring is a reliable ex-ante covariance matrix of various financial time series. Therefore a reliable model which can handle a large number of time series is required to calculate an ex-ante or conditional covariance matrix.
author2	Haines, Linda
author_facet	Haines, Linda Jensen, Tracy
author	Jensen, Tracy
author_sort	Jensen, Tracy
title	Modelling conditional covariances with orthogonal factor models
title_short	Modelling conditional covariances with orthogonal factor models
title_full	Modelling conditional covariances with orthogonal factor models
title_fullStr	Modelling conditional covariances with orthogonal factor models
title_full_unstemmed	Modelling conditional covariances with orthogonal factor models
title_sort	modelling conditional covariances with orthogonal factor models
publisher	University of Cape Town
publishDate	2015
url	http://hdl.handle.net/11427/10951
work_keys_str_mv	AT jensentracy modellingconditionalcovarianceswithorthogonalfactormodels
_version_	1719347578013745152

Modelling conditional covariances with orthogonal factor models

Similar Items