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Department of Statistical Sciences
Multivariate volatility modelling in modern finance
Abstract
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.
Degree
thesis:*- Grantor dc:publisher.institution
- Department of Statistical Sciences
- Year dc:date.issued
- 2008
Author and committee
dc:creator, dc:contributor.*- Author dc:creator
-
- Bongers, Martin B
- Advisor dc:contributor.advisor
-
- Haines, Linda
Rights
- Language dc:language.iso
- eng
Identifiers
dc:identifier.*- Handle dc:identifier.uri
- http://hdl.handle.net/11427/4373
- OAI identifier oai:identifier
- oai:open.uct.ac.za:11427/4373