Incorporating the Power EWMA Estimator into the Historical SimulationMethod for Value-at-Risk Estimation
博士 === 國立高雄第一科技大學 === 管理研究所 === 94 === ABSTRACT Although the historical simulation possesses privileged advantages in estimating portfolio VaR, it still has to deal with inherent dilemma problems caused by using massive amounts of historical data. These problems are mainly attributed to the fact tha...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Online Access: | http://ndltd.ncl.edu.tw/handle/49952427442802121718 |