Multivariate volatility modelling in modern finance

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dc.contributor.advisorHaines, Lindaen_ZA
dc.contributor.authorBongers, Martin Ben_ZA
dc.date.accessioned2014-07-30T17:43:50Z
dc.date.available2014-07-30T17:43:50Z
dc.date.issued2008en_ZA
dc.descriptionIncludes abstract.
dc.descriptionIncludes bibliographical references (leaves 100-101).
dc.description.abstractThe 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.en_ZA
dc.identifier.apacitationBongers, M. B. (2008). <i>Multivariate volatility modelling in modern finance</i>. (Thesis). University of Cape Town ,Faculty of Science ,Department of Statistical Sciences. Retrieved from http://hdl.handle.net/11427/4373en_ZA
dc.identifier.chicagocitationBongers, Martin B. <i>"Multivariate volatility modelling in modern finance."</i> Thesis., University of Cape Town ,Faculty of Science ,Department of Statistical Sciences, 2008. http://hdl.handle.net/11427/4373en_ZA
dc.identifier.citationBongers, M. 2008. Multivariate volatility modelling in modern finance. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Bongers, Martin B AB - 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. DA - 2008 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2008 T1 - Multivariate volatility modelling in modern finance TI - Multivariate volatility modelling in modern finance UR - http://hdl.handle.net/11427/4373 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/4373
dc.identifier.vancouvercitationBongers MB. Multivariate volatility modelling in modern finance. [Thesis]. University of Cape Town ,Faculty of Science ,Department of Statistical Sciences, 2008 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/4373en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDepartment of Statistical Sciencesen_ZA
dc.publisher.facultyFaculty of Scienceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherMathematical Statisticsen_ZA
dc.titleMultivariate volatility modelling in modern financeen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMScen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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