Application of multivariate GARCH in the minimum variance optimization of a multi-currency sovereign bond portfolio
Fixed income portfolio managers are often challenged on how to maximize return and mitigate risk, especially during periods of increased volatility and occurrence of extreme events. Given the dynamic nature of risk, it is prudent to find a methodology where interest rate volatility can be forecasted...
Saved in:
| Main Author: | |
|---|---|
| Format: | text |
| Language: | English |
| Published: |
Animo Repository
2012
|
| Online Access: | https://animorepository.dlsu.edu.ph/etd_masteral/4280 https://animorepository.dlsu.edu.ph/context/etd_masteral/article/11118/viewcontent/CDTG005231_P.pdf |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | De La Salle University |
| Language: | English |