Multivariate GARCH models in asset allocation
Tersigni, Andrea (A.A. 2017/2018) Multivariate GARCH models in asset allocation. Tesi di Laurea in Empirical finance, Luiss Guido Carli, relatore Paolo Santucci de Magistris, pp. 38. [Master's Degree Thesis]
Full text for this thesis not available from the repository.
Abstract/Index
Univariate conditional volatility models. Asymmetric models. Multivarite conditional volatility models models. Multivariate GARCH models. Application.
References
Bibliografia: pp. 36-37.
| 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: | Empirical finance |
| Thesis Supervisor: | Santucci de Magistris, Paolo |
| Thesis Co-Supervisor: | Pozzi, Andrea |
| Academic Year: | 2017/2018 |
| Session: | Extraordinary |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 30 Jul 2019 09:55 |
| Last Modified: | 30 Jul 2019 09:55 |
| URI: | https://tesi.luiss.it/id/eprint/24319 |
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