Modelling conditional covariances with orthogonal factor models

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dc.contributor.advisorHaines, Lindaen_ZA
dc.contributor.authorJensen, Tracyen_ZA
dc.date.accessioned2015-01-02T09:03:50Z
dc.date.available2015-01-02T09:03:50Z
dc.date.issued2011en_ZA
dc.description.abstractThe 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.en_ZA
dc.identifier.apacitationJensen, T. (2011). <i>Modelling conditional covariances with orthogonal factor models</i>. (Thesis). University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics. Retrieved from http://hdl.handle.net/11427/10951en_ZA
dc.identifier.chicagocitationJensen, Tracy. <i>"Modelling conditional covariances with orthogonal factor models."</i> Thesis., University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics, 2011. http://hdl.handle.net/11427/10951en_ZA
dc.identifier.citationJensen, T. 2011. Modelling conditional covariances with orthogonal factor models. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Jensen, Tracy AB - 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. DA - 2011 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2011 T1 - Modelling conditional covariances with orthogonal factor models TI - Modelling conditional covariances with orthogonal factor models UR - http://hdl.handle.net/11427/10951 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/10951
dc.identifier.vancouvercitationJensen T. Modelling conditional covariances with orthogonal factor models. [Thesis]. University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics, 2011 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/10951en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDepartment of Mathematics and Applied Mathematicsen_ZA
dc.publisher.facultyFaculty of Scienceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherMathematics of Financeen_ZA
dc.titleModelling conditional covariances with orthogonal factor modelsen_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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