Using Wavelet Transform to Value at Risk Estimation
碩士 === 銘傳大學 === 財務金融學系碩士在職專班 === 94 === Abstract This research examines the normality of the return distribution of Taiwan Weighted Stock Index and proves that peak and fat tail exist in the return distribution. Unlike the methods used for the estimation of VaR in the past, this research utilizes th...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2006
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/ady232 |