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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Bibliografski detalji
Glavni autor: Noureldin, D
Daljnji autori: Shephard, N
Format: Disertacija
Jezik:English
Izdano: 2011
Teme: