Estimating Value-at-Risk for stock index futures using Double Long-memory Models
碩士 === 國立政治大學 === 國際貿易研究所 === 92 === In this thesis, we estimate Value-at-Risk (VaR) for daily closing price of three stock index futures contracts, S&P500, Nasdaq100, and Dow Jones, using the double long memory models. Due to the existence of a long-term persistence characterized in our data, t...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/71738822220430168440 |