Oil price forecasting models: a multivariate VaR approach with volatility spillovers
Andreotti, Andrea (A.A. 2009/2010) Oil price forecasting models: a multivariate VaR approach with volatility spillovers. Tesi di Laurea in Serie storiche e modelli di previsione finanziaria, LUISS Guido Carli, relatore Tommaso Proietti, pp. 131. [Master's Degree Thesis]
Full text for this thesis not available from the repository.
Abstract/Index
Introduction to crude oil markets. Models for oil price forecasting. A multivariate approach: the VARMA-AGARCH model. Empirical estimation.
References
Bibliografia: pp. 129-131.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | LUISS Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (64/S) |
| Chair: | Serie storiche e modelli di previsione finanziaria |
| Thesis Supervisor: | Proietti, Tommaso |
| Thesis Co-Supervisor: | Cubadda, Gianluca |
| Academic Year: | 2009/2010 |
| Session: | Autumn |
| Deposited by: | Maria Teresa Nisticò |
| Date Deposited: | 03 May 2011 15:58 |
| Last Modified: | 19 May 2015 22:43 |
| URI: | https://tesi.luiss.it/id/eprint/3806 |
Downloads
Downloads per month over past year
Repository Staff Only
 |
View Item |
