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...
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| Formáid: | Tráchtas |
| Teanga: | English |
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2011
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