Multivariate volatility modelling in modern finance

Master Thesis

2008

Permanent link to this Item
http://hdl.handle.net/11427/4373
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thesis_sci_2008_bongers_m.pdf (4.64 MB)
Authors
Bongers, Martin B
Supervisors
Haines, Linda
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Publisher

University of Cape Town

Department
Department of Statistical Sciences
Faculty
Faculty of Science
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Abstract
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.
Description

Includes abstract.


Includes bibliographical references (leaves 100-101).

Keywords
Mathematical Statistics

Reference:

Bongers, M. 2008. Multivariate volatility modelling in modern finance. University of Cape Town.

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Masters