Zhou, Tu. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. / Includes bibliographical references (leaves 61-70). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.0 / Chapter 1.1 --- Motivation and Objective --- p.0 / Chapter 1.2 --- Major Contribution --- p.2 / Chapter 1.3 --- Thesis Organization --- p.4 / Chapter 2 --- Measurement of Relationship between financial time series --- p.5 / Chapter ´ب2.1 --- Linear Correlation --- p.5 / Chapter 2.1.1 --- Pearson Correlation Coefficient --- p.6 / Chapter 2.1.2 --- Rank Correlation --- p.6 / Chapter 2.2 --- Mutual Information --- p.7 / Chapter 2.2.1 --- Approaches of Mutual Information Estimation --- p.10 / Chapter 2.3 --- Copula --- p.12 / Chapter 2.4 --- Analysis from Experimental Data --- p.14 / Chapter 2.4.1 --- Experiment 1: Nonlinearity --- p.14 / Chapter 2.4.2 --- Experiment 2: Sensitivity of Outliers --- p.16 / Chapter 2.4.3 --- Experiment 3: Transformation Invariance --- p.20 / Chapter 2.5 --- Chapter Summary --- p.23 / Chapter 3 --- Clustered Dynamic Conditional Correlation Model --- p.26 / Chapter 3.1 --- Background Review --- p.26 / Chapter 3.1.1 --- GARCH Model --- p.26 / Chapter 3.1.2 --- Multivariate GARCH model --- p.29 / Chapter 3.2 --- DCC Multivariate GARCH Models --- p.31 / Chapter 3.2.1 --- DCC GARCH Model --- p.31 / Chapter 3.2.2 --- Generalized DCC GARCH Model --- p.32 / Chapter 3.2.3 --- Block-DCC GARCH Model --- p.32 / Chapter 3.3 --- Clustered DCC GARCH Model --- p.34 / Chapter 3.3.1 --- Minimum Distance Estimation (MDE) --- p.36 / Chapter 3.3.2 --- Clustered DCC (CDCC) based on MDE --- p.37 / Chapter 3.4 --- Clustering Method Selection --- p.40 / Chapter 3.5 --- Model Estimation and Testing Method --- p.42 / Chapter 3.5.1 --- Maximum Likelihood Estimation --- p.42 / Chapter 3.5.2 --- Box-Pierce Statistic Test --- p.44 / Chapter 3.6 --- Chapter Summary --- p.44 / Chapter 4 --- Experimental Result and Applications on CDCC --- p.46 / Chapter 4.1 --- Model Comparison and Analysis --- p.46 / Chapter 4.2 --- Portfolio Selection Application --- p.50 / Chapter 4.3 --- Value at Risk Application --- p.52 / Chapter 4.4 --- Chapter Summary --- p.55 / Chapter 5 --- Conclusion --- p.57 / Bibliography --- p.61
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_326550 |
| Date | January 2008 |
| Contributors | Zhou, Tu., Chinese University of Hong Kong Graduate School. Division of Computer Science and Engineering. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, ix, 70 leaves : ill. ; 30 cm. |
| Rights | Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
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