The Application of Value-at-Risk: The Case of ETFs
碩士 === 元智大學 === 財務金融學系 === 94 === This paper use EQMA、EWMA、HS、BS and REWMA to find adequately methods to calculate value-at-risk measure of country-specific ETFs and sector-specific ETFs. And then, we adopt backtest proposed by the Basle Rule and LR statistic test to examine methods we used here. Ou...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/28411029732120174648 |