Audrino, Francesco (contributor); Trojani, Fabio (contributor) - 2007
scenarios generating techniques based on (i) factor analysis, (ii) a multivariate
CCC-GARCH model, or (iii) an exponential … Historical Sim-
ulation; Functional Gradient Descent; Term structure; Multivariate CCC-GARCH
models
2
Introduction
The quality … (i) a factor analysis of
the yield curve dynamics, (ii) a multivariate AR-CCC-GARCH (Bollerslev, 1990) model
and (iii) a …