Estimate Value at Risk of Portfolio by Conditional-Copula-GARCH Method
碩士 === 國立中山大學 === 財務管理學系研究所 === 95 === Copula functions represent a methodology which can describe the dependence structure of multi-dimension random variable, and has recently become the most significant new tool to handle risk factors in finance such as Value-at Risk( VaR) which was probably the m...
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| Format: | Others |
| Language: | en_US |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/efu6vm |