Browsing Theses and Dissertations (Economics) by Author "De Wet, W.A. (Walter Albert)"

Browsing Theses and Dissertations (Economics) by Author "De Wet, W.A. (Walter Albert)"

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  • A structural Garch model: an application to portfolio risk management 
    De Wet, W.A. (Walter Albert) (University of Pretoria, 2006-04-14)
    The primary objective of this study is to decompose the conditional covariance matrix of a system of variables. A structural GARCH model is proposed which makes use of existing multivariate GARCH (MGARCH) models to decompose ...