Essays on multivariate volatility and dependence models for financial time series

Essays on multivariate volatility and dependence models for financial time series

<p>This thesis investigates the modelling and forecasting of multivariate volatility and dependence in financial time series. The first paper proposes a new model for forecasting changes in the term structure (TS) of interest rates. Using the level, slope and curvature factors of the dynamic N...

書誌詳細
第一著者:	Noureldin, D
その他の著者:	Shephard, N
フォーマット:	学位論文
言語:	English
出版事項:	2011
主題:	Econometrics Economics Financial economics

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