Browsing Department of Mathematics by Author "Wahl, Jens Christian"
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Parameter Estimation of Multivariate Factor Stochastic Volatility Models
Wahl, Jens Christian (Master thesis, 2018-06-22)Volatility is a crucial aspect of risk management and important to accurately quantify. A broad range of models and methods tackle this problem, but there is no consensus to exactly which method or model that solves this ...