AGGREGATION OF RETURNS: HETEROSKEDASTIC MODELS, (GEOMETRIC) BROWNIAN MOTION, AND FORECASTING RETURN-AT-RISK
Aggregation of returns can be classified into two types: Type I and Type II. Type I involves summing returns over time to understand their volatility. Typically, the volatility of aggregated returns for assets is heteroscedastic, meaning it varies over time. Therefore, heteroskedastic models like...
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| Format: | Theses |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/82996 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |