The Application of Extreme Value Theory on Estimating the Term Structure of Interest Rate Volatility
碩士 === 國立高雄第一科技大學 === 財務管理所 === 95 === By analyzing the trend of short term interest rate in Taiwan, Japan, Hong Kong, Singapore, and South Korea, this paper investigates the issue that whether the extreme value distribution is time dependent at a given threshold. In addition, we examine the existen...
| 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/76978477721375790299 |