Multivariate GARCH models, expected shortfall and portfolio optimisation
Rennis, Giuseppina (A.A. 2017/2018) Multivariate GARCH models, expected shortfall and portfolio optimisation. Tesi di Laurea in Econometric theory, LUISS Guido Carli, relatore Paolo Santucci de Magistris, pp. 131. [Master's Degree Thesis]
Full text for this thesis not available from the repository.
Abstract/Index
Risk concept and estimation of volatility. Different kinds of risk. Empirical application.
References
Bibliografia: pp. 101-105.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | LUISS Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Econometric theory |
| Thesis Supervisor: | Santucci de Magistris, Paolo |
| Thesis Co-Supervisor: | Pozzi, Andrea |
| Academic Year: | 2017/2018 |
| Session: | Autumn |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 11 Apr 2019 09:21 |
| Last Modified: | 11 Apr 2019 09:21 |
| URI: | https://tesi.luiss.it/id/eprint/22961 |
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