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dc.contributor.authorCandila, Vincenzo
dc.date.accessioned2014-06-30T09:35:32Z
dc.date.available2014-06-30T09:35:32Z
dc.date.issued2014-03-05
dc.identifier.urihttp://hdl.handle.net/10556/1430
dc.identifier.urihttp://dx.doi.org/10.14273/unisa-276
dc.description2012 - 2013en_US
dc.description.abstractThe modelization of risk is a hard task for many financial institutions. This explains the great interest for the volatility models during last decades. In this framework, the volatility predictions deriving from a set of models is a partly unexplored research field. A general formulation of this problem involves the volatitlity proxy, the forecasting models, the forecasting scheme used to generate the predictions and the function employed to evalue the forecasts. In this thesis, the volatility proxy is the realized volatitlity while the forecasting models are the (univariate and multivariate) Garch models and the models that models that re-paranetrize the realized volatility... [edited by author]en_US
dc.language.isoenen_US
dc.publisherUniversita degli studi di Salernoen_US
dc.subjectMultivariate GARCH modelsen_US
dc.subjectLoss functionen_US
dc.subjectValue at risken_US
dc.titleEvaluation of volatility forecastsen_US
dc.typeDoctoral Thesisen_US
dc.subject.miurSECS-P/01 ECONOMIA POLITICAen_US
dc.contributor.coordinatoreAmendola, Alessandraen_US
dc.description.cicloXII n.s.en_US
dc.contributor.tutorAmendola, Alessandraen_US
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