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.


Univariate conditional volatility models. Asymmetric models. Multivarite conditional volatility models models. Multivariate GARCH models. Application.


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


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