Includes abstract. / Includes bibliographical references (leaves 100-101). / The aim of the study is to ascertain whether the information gained from the more complicated multivariate matrix decomposition models can be used to better forecast the covariance matrix and produce a Value at Risk estimate which more appropriately describes fat-tailed financial time-series.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:uct/oai:localhost:11427/4373 |
| Date | January 2008 |
| Creators | Bongers, Martin B |
| Contributors | Haines, Linda |
| Publisher | University of Cape Town, Faculty of Science, Department of Statistical Sciences |
| Source Sets | South African National ETD Portal |
| Language | English |
| Detected Language | English |
| Type | Master Thesis, Masters, MSc |
| Format | application/pdf |
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