The influence of skewness and kurtosis on the determination of value at risk for TAIEX futures and options
碩士 === 國立高雄第一科技大學 === 金融營運所 === 93 === This study analyses the influence of skewness and kurtosis on VaR. The risky assets are TAIEX and Options. We loose the assumption of normal distribution for the underlying assets and then use Cornish-Fisher expansion to determine the distribution of risk facto...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/44173251312048913862 |