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.


Risk concept and estimation of volatility. Different kinds of risk. Empirical application.


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


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