Modelling conditional covariances with orthogonal factor models

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.

Grantor dc:publisher.institution

Department of Mathematics and Applied Mathematics

Year dc:date.issued

2011

Author dc:creator

• Jensen, Tracy

Advisor dc:contributor.advisor

• Haines, Linda

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/11427/10951

OAI identifier oai:identifier

oai:open.uct.ac.za:11427/10951