Browsing by Author "Jensen, Tracy"

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    Modelling conditional covariances with orthogonal factor models
    (2011) Jensen, Tracy; Haines, Linda
    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.