Investment Strategy for VIX Futures based on a Bayesian Approach to Term Structure Modelling

The VIX index, which is the expected volatility of the S&P 500 index in 30 days, is of interest to a lot of investors on the US financial market. Allowing the volatility of the financial market to be used as a trading tool gives rise to interesting investment opportunities, such as hedging and speculation. In this thesis we will be creating...

Modelling multivariate financial time series using vector autoregressive processes

Time series analysis is used to predict future behaviour of processes and is widely used in the finance sector. In this paper we will analyse the modelling of multivariate time series of financial data using vector autoregressive processes. The goal is that the reader will understand the presented models and could theoretically perform time...