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Multivariate volatility models for high frequency data

Volatility forecast is important in risk management. However since volatility is unobserved, most volatility models like the GARCH models are based on daily return and model volatil more...

Supervisor(s): Chan, Jennifer (Associate Professor)

Semi-metric machine learning techniques to investigate trend of COVID 19 spread and impact on stock market

The spread of COVID 19 pandemic appears to occur in several phrases and each phrase has possibly different impacts on the economy as reflected in the stock market. This project aims more...

Supervisor(s): Chan, Jennifer (Associate Professor)