A benchmark model for measuring bias in estimated Value at Risk : the study of stock index futures in TAIFEX
碩士 === 國立高雄第一科技大學 === 金融營運所 === 92 === In practice, VaR is estimated with daily close price. However, it may produce biased VaR. This paper is to propose a new approach based on the concept of realized volatility to examine if VaR produced by traditional VaR models is biased and to find out the mo...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/11208743354561240136 |