Real time estimation of multivariate stochastic volatility models
This thesis firstly considers a modelling framework for multivariate volatility in financial time series. As most financial returns exhibit heavy tails and skewness, we are considering a model for the returns based on the skew-t distribution, while the volatility is assumed to follow a Wishart autor...
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University of Sheffield
2017
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.707130 |