Some topics in correlation stress testing and multivariate volatility modeling
This thesis considers two important problems in finance, namely, correlation stress testing and multivariate volatility modeling. Correlation stress testing refers to the correlation matrix adjustment to evaluate potential impact of the changes in correlations under financial crises. Very often,...
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| Language: | English |
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The University of Hong Kong (Pokfulam, Hong Kong)
2014
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| Online Access: | http://hdl.handle.net/10722/206653 |