Browsing by Author "Lui, Sze Wai Silvia"
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A Study Of Stock Volatility In The Context Of Factor Volatility Models For Large Datasets: Factor Analysis And Forecasting
Lui, Sze Wai Silvia (2007)This thesis is a study of stock volatility adopting two factor volatility models for large datasets: the orthogonal GARCH model and the stochastic volatility factor model. An application is made to the constituent stocks ...