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Thesis

Essays on multivariate volatility and dependence models for financial time series

Abstract:

This thesis investigates the modelling and forecasting of multivariate volatility and dependence in financial time series. The first paper proposes a new model for forecasting changes in the term structure (TS) of interest rates. Using the level, slope and curvature factors of the dynamic Nelson-Siegel model, we build a time-varying copula model for the factor dynamics allowing for departure from the normality assumption typically adopted in TS models. To induce relative immunity to struct...

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Institution:
University of Oxford
Research group:
Econometrics
Oxford college:
Nuffield College
Department:
Social Sciences Division - Economics

Contributors

Role:
Supervisor
Role:
Supervisor
Publication date:
2011
Type of award:
DPhil
Level of award:
Doctoral
Awarding institution:
Oxford University, UK
URN:
uuid:fdf82d35-a5e7-4295-b7bf-c7009cad7b56
Local pid:
ora:7195

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