A DCC Model Based on Realized Ｖolatility
碩士 === 國立交通大學 === 經營管理研究所 === 95 === This paper investigates the difference portfolio Value-at-Risk models. We use the weekly data about the stock indices of S&P500 , NASDAQ , and DOW JONES for empirical analysis. The empirical results indicate that a DCC( Dynamic Conditional Correlation ) model...
| 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/72601946863830700389 |