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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...
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
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Department of Mathematics and Applied Mathematics
2015
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| _version_ | 1867613184959971328 |
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| access_status_str | Open Access |
| author | Jensen, Tracy |
| author2 | Haines, Linda |
| author_browse | Haines, Linda Jensen, Tracy |
| author_facet | Haines, Linda Jensen, Tracy |
| author_sort | Jensen, Tracy |
| collection | Thesis |
| description | 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. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/10951 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:32:07.214Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2015 |
| publishDateRange | 2015 |
| publishDateSort | 2015 |
| publisher | Department of Mathematics and Applied Mathematics |
| publisherStr | Department of Mathematics and Applied Mathematics |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/10951 Modelling conditional covariances with orthogonal factor models Jensen, Tracy Haines, Linda Mathematics of Finance 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. 2015-01-02T09:03:50Z 2015-01-02T09:03:50Z 2011 Master Thesis Masters MSc http://hdl.handle.net/11427/10951 eng application/pdf Department of Mathematics and Applied Mathematics Faculty of Science University of Cape Town |
| spellingShingle | Mathematics of Finance Jensen, Tracy Modelling conditional covariances with orthogonal factor models |
| thesis_degree_str | Master's |
| title | Modelling conditional covariances with orthogonal factor models |
| title_full | Modelling conditional covariances with orthogonal factor models |
| title_fullStr | Modelling conditional covariances with orthogonal factor models |
| title_full_unstemmed | Modelling conditional covariances with orthogonal factor models |
| title_short | Modelling conditional covariances with orthogonal factor models |
| title_sort | modelling conditional covariances with orthogonal factor models |
| topic | Mathematics of Finance |
| url | http://hdl.handle.net/11427/10951 |
| work_keys_str_mv | AT jensentracy modellingconditionalcovarianceswithorthogonalfactormodels |