Multivariate volatility modelling in modern finance

Includes abstract. === Includes bibliographical references (leaves 100-101). === The aim of the study is to ascertain whether the information gained from the more complicated multivariate matrix decomposition models can be used to better forecast the covariance matrix and produce a Value at Risk est...

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Main Author: Bongers, Martin B
Other Authors: Haines, Linda
Format: Dissertation
Language:English
Published: University of Cape Town 2014
Subjects:
Online Access:http://hdl.handle.net/11427/4373
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spelling ndltd-netd.ac.za-oai-union.ndltd.org-uct-oai-localhost-11427-43732020-10-06T05:10:54Z Multivariate volatility modelling in modern finance Bongers, Martin B Haines, Linda Mathematical Statistics Includes abstract. Includes bibliographical references (leaves 100-101). The aim of the study is to ascertain whether the information gained from the more complicated multivariate matrix decomposition models can be used to better forecast the covariance matrix and produce a Value at Risk estimate which more appropriately describes fat-tailed financial time-series. 2014-07-30T17:43:50Z 2014-07-30T17:43:50Z 2008 Master Thesis Masters MSc http://hdl.handle.net/11427/4373 eng application/pdf University of Cape Town Faculty of Science Department of Statistical Sciences
collection NDLTD
language English
format Dissertation
sources NDLTD
topic Mathematical Statistics
spellingShingle Mathematical Statistics
Bongers, Martin B
Multivariate volatility modelling in modern finance
description Includes abstract. === Includes bibliographical references (leaves 100-101). === The aim of the study is to ascertain whether the information gained from the more complicated multivariate matrix decomposition models can be used to better forecast the covariance matrix and produce a Value at Risk estimate which more appropriately describes fat-tailed financial time-series.
author2 Haines, Linda
author_facet Haines, Linda
Bongers, Martin B
author Bongers, Martin B
author_sort Bongers, Martin B
title Multivariate volatility modelling in modern finance
title_short Multivariate volatility modelling in modern finance
title_full Multivariate volatility modelling in modern finance
title_fullStr Multivariate volatility modelling in modern finance
title_full_unstemmed Multivariate volatility modelling in modern finance
title_sort multivariate volatility modelling in modern finance
publisher University of Cape Town
publishDate 2014
url http://hdl.handle.net/11427/4373
work_keys_str_mv AT bongersmartinb multivariatevolatilitymodellinginmodernfinance
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