Study on Diffusion-Jump Models and their Applications on VaR
碩士 === 國立成功大學 === 統計學系碩博士班 === 95 === This thesis explores the rational for the 120% lowest margin ratio on securities margin trading using VaR. Firstly, we apply diffusion- jump model to catch skewness and leptokurtic feature for returns. The normal-diffusion with uniform-jump model has better capa...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/34937892718824985051 |