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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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 |
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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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