Three essays on stock market risk estimation and aggregation
This dissertation consists of three essays. In the first essay, I estimate a high dimensional covariance matrix of returns for 88 individual stocks from the S&P 100 index, using daily return data for 1995-2005. This study applies the two-step estimator of the dynamic conditional correlation mul...
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2012
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| Online Access: | http://hdl.handle.net/1993/5210 |