Browsing by Author "Bongers, Martin B"

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    Multivariate volatility modelling in modern finance
    (2008) Bongers, Martin B; Haines, Linda
    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.