Search for dissertations about: "Gustav Alfelt"
Found 2 swedish dissertations containing the words Gustav Alfelt.
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1. Modeling Realized Covariance of Asset Returns
Abstract : In this thesis, which consists of two papers, we consider the modeling of positive definitive symmetric matrices, in particular covariance matrices of financial asset returns. The return covariance matrix describes the magnitude in which prices of financial assets tend to change over time, and how price changes between different assets are related. READ MORE
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2. Modeling the covariance matrix of financial asset returns
Abstract : The covariance matrix of asset returns, which describes the fluctuation of asset prices, plays a crucial role in understanding and predicting financial markets and economic systems. In recent years, the concept of realized covariance measures has become a popular way to accurately estimate return covariance matrices using high-frequency data. READ MORE