Dynamics of the Philippine market sectors a DDC analysis

Aims to describe market sector volatility behavior in the Philippines. Examines the behavior market sector indices (financials, industrial, holding firms, property, services and mining &oil) using dynamic conditional correlation (DCC) analysis, a multivariate GARCGH model. Also shows how the DC...

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Bibliographic Details

Main Author:	Gordo, Gilbert M. (Author)
Other Authors:	Bautista, Carlos C. (adviser.)
Format:	Thesis
Language:	English
Subjects:	Investment analysis. Investments > Mathematical models. Portfolio analysis.