A financial econometric model for the network of market risk

Santucci, Lorenzo (A.A. 2019/2020) A financial econometric model for the network of market risk. Tesi di Laurea in Empirical finance, Luiss Guido Carli, relatore Paolo Santucci de Magistris, pp. 43. [Master's Degree Thesis]

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Methodology. Mean model. Time varying volatility. VaR and backtesting procedures. Copula. Graphical lasso. Network analysis. Empirical results. Data and descriptive statistics. Backtesting and model selection. Graphical model.


Bibliografia: pp. 40-42.

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: Grassi, Stefano
Academic Year: 2019/2020
Session: Extraordinary
Deposited by: Alessandro Perfetti
Date Deposited: 01 Jul 2021 13:46
Last Modified: 01 Jul 2021 13:46
URI: https://tesi.luiss.it/id/eprint/29947


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