Thesis
Essays on multivariate volatility and dependence models for financial time series
- Abstract:
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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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Authors
Contributors
+ Shephard, N
Division:
SSD
Department:
Economics
Role:
Supervisor
+ Sheppard, K
Division:
SSD
Department:
Economics
Role:
Supervisor
Bibliographic Details
- Publication date:
- 2011
- Type of award:
- DPhil
- Level of award:
- Doctoral
- Awarding institution:
- Oxford University, UK
Item Description
- Language:
- English
- Keywords:
- Subjects:
- UUID:
-
uuid:fdf82d35-a5e7-4295-b7bf-c7009cad7b56
- Local pid:
- ora:7195
- Deposit date:
- 2013-08-16
Terms of use
- Copyright holder:
- Noureldin, D
- Copyright date:
- 2011
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