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1. 1. Multivariate Financial Time Series and Volatility Models with Applications to Tactical Asset Allocation

   University essay from KTH/Matematisk statistik

   Author : Markus Andersson; [2015]
   Keywords : Multivariate Financial Time Series; Multivariate Volatility Models; Modern Portfolio Theory MPT ; Tactical Asset Allocation TAA ; Multivariata finansiella tidsserier; Multivariata volatilitets modeller; Modern portföljteori MPT ; Taktisk tillgångsallokering TAA ;

   Abstract : The financial markets have a complex structure and the modelling techniques have recently been more and more complicated. So for a portfolio manager it is very important to find better and more sophisticated modelling techniques especially after the 2007-2008 banking crisis. READ MORE