The Performance of VaR Measurements－The Empirical Studies of Currency Exchange Rates
碩士 === 輔仁大學 === 金融研究所 === 88 === Since financial asset returns don’t often follow the hypothesis of normal distribution（such as high kurtosis and fat tails）, this study considers not only normal distribution but also GARCH model. In addition, we try to evaluate VaR by mixture of normal distribution...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2000
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| Online Access: | http://ndltd.ncl.edu.tw/handle/19850987812501983696 |