Applying Generalized Error Distribution to the Historical Simulation Method for Value-at-Risk to Improve the Performance of Risk Management of Exchange Rate
碩士 === 國立高雄第一科技大學 === 財務管理所 === 91 === In this paper, we employ an alternative exponentially weighted moving average (EWMA) estimator which is based on the maximum likelihood estimator of the variance of generalized error distribution (GED) in conjunction with historical simulation when comp...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2003
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| Online Access: | http://ndltd.ncl.edu.tw/handle/57491392001267270543 |