A structural Garch model: an application to portfolio risk management

A structural Garch model: an application to portfolio risk management

The primary objective of this study is to decompose the conditional covariance matrix of a system of variables. A structural GARCH model is proposed which makes use of existing multivariate GARCH (MGARCH) models to decompose the covariance matrix. The variables analysed in the study are the All Shar...

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Bibliographic Details
Main Author: De Wet, W.A. (Walter Albert)
Other Authors: Du Toit, Charlotte Barbara [
Published: 2013
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UCTD
Online Access:http://hdl.handle.net/2263/23943
De Wet, W 2005, A structural Garch model: an application to portfolio risk management, PhD thesis, University of Pretoria, Pretoria, viewed yymmdd < http://hdl.handle.net/2263/23943 >
http://upetd.up.ac.za/thesis/available/etd-04132005-143137/

Internet

http://hdl.handle.net/2263/23943
De Wet, W 2005, A structural Garch model: an application to portfolio risk management, PhD thesis, University of Pretoria, Pretoria, viewed yymmdd < http://hdl.handle.net/2263/23943 >
http://upetd.up.ac.za/thesis/available/etd-04132005-143137/

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