Full Text Available
Note: Clicking the button above will open the full text document at the original institutional repository in a new window.
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...
Saved in:
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Department of Mathematics and Applied Mathematics
2015
|
| Subjects: | |
| Tags: |
No Tags, Be the first to tag this record!
|