In this paper we present two dierent Value at Risk models which assume a general multivariate GARCH structure for the asset returns. The need of imposing a restriction in order to reduce the parametric space of the model to be estimated is achieved by means of a Principal-Component analisys. The purpose of the paper is twofold. First, to use a recently developed econometric methodology to identify the hidden factors of the time-varying variance-covariance matrix of asset returns. Second, to apply this method to a fixed income medium size portfolio for risk management aims.
Managing the Risk Side of a Medium Size Portfolio Showing GARCH Effects
CASTAGNETTI, CAROLINA
2000-01-01
Abstract
In this paper we present two dierent Value at Risk models which assume a general multivariate GARCH structure for the asset returns. The need of imposing a restriction in order to reduce the parametric space of the model to be estimated is achieved by means of a Principal-Component analisys. The purpose of the paper is twofold. First, to use a recently developed econometric methodology to identify the hidden factors of the time-varying variance-covariance matrix of asset returns. Second, to apply this method to a fixed income medium size portfolio for risk management aims.File in questo prodotto:
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