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    A Closer Look at ADC Multivariate GARCH 

    Haftel, Jared (2009-05-04)
    In the past thirty years, academia and the marketplace have devoted signi cant e ort and resources toward gaining a better understanding of how volatility changes over time in the nancial markets and how changes in one ...
     

     

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    AuthorHaftel, Jared (1)Date Issued2009 (1)TypeHonors thesis (1)Subject
    Antisymmetric Dynamic Covariance (1)
    Broyden-Fletcher-Goldfarb-Shanno optimization algorithm (1)Generalized Autoregressive Conditional Heteroskedacity (1)... View MoreDepartment
    Mathematics (1)