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Title: A multivariate GARCH model for the non-normal behaviour of financial assets
Author: Cajigas, Juan Pablo
ISNI:       0000 0001 3514 220X
Awarding Body: City University London
Current Institution: City, University of London
Date of Award: 2007
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This thesis extends the dynamic conditional correlation (DCC) model proposed in Engle (2002) to the case of conditional returns supposed to follow an asymmetric multivariate Laplace (AML) distribution as presented in Kotz, Kozubowsky and Podgorski (2003). We prove that maximum likelihood estimator provides optimal estimates of the relevant parameters estimated. We show the applicability of our approach in a comprehensive set of risk management implementations where we compute Value-at-Risk and Expected-Shorfall measures for portfolios composed by a large number of assets.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available
Keywords: HG Finance