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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| Format: | Dissertation |
| Language: | English |
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University of Cape Town
2015
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| Online Access: | http://hdl.handle.net/11427/10951 |