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Multivariate volatility modelling in modern finance
Includes abstract.
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Department of Statistical Sciences
2014
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| _version_ | 1867613184912785408 |
|---|---|
| access_status_str | Open Access |
| author | Bongers, Martin B |
| author2 | Haines, Linda |
| author_browse | Bongers, Martin B Haines, Linda |
| author_facet | Haines, Linda Bongers, Martin B |
| author_sort | Bongers, Martin B |
| collection | Thesis |
| description | Includes abstract. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/4373 |
| 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 | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | Department of Statistical Sciences |
| publisherStr | Department of Statistical Sciences |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/4373 Multivariate volatility modelling in modern finance Bongers, Martin B Haines, Linda Mathematical Statistics Includes abstract. Includes bibliographical references (leaves 100-101). The 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. 2014-07-30T17:43:50Z 2014-07-30T17:43:50Z 2008 Master Thesis Masters MSc http://hdl.handle.net/11427/4373 eng application/pdf Department of Statistical Sciences Faculty of Science University of Cape Town |
| spellingShingle | Mathematical Statistics Bongers, Martin B Multivariate volatility modelling in modern finance |
| thesis_degree_str | Master's |
| title | Multivariate volatility modelling in modern finance |
| title_full | Multivariate volatility modelling in modern finance |
| title_fullStr | Multivariate volatility modelling in modern finance |
| title_full_unstemmed | Multivariate volatility modelling in modern finance |
| title_short | Multivariate volatility modelling in modern finance |
| title_sort | multivariate volatility modelling in modern finance |
| topic | Mathematical Statistics |
| url | http://hdl.handle.net/11427/4373 |
| work_keys_str_mv | AT bongersmartinb multivariatevolatilitymodellinginmodernfinance |