Incorporating Extreme Value Theory into the GARCH Model for Value-at-Risk
碩士 === 國立高雄第一科技大學 === 財務管理所 === 91 === This study revises a procedure deceloped by McNeil and Frey (2000) using the Extreme value theory in conjunction with GARCH model when computing Value-at-Risk (VaR). In this study we use the VaR-x estimator of nonparametric approach in computing tail index, be...
| 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/70297344987669668605 |