An Empirical Investigation of Value at Risk of Taiwan Stock Indexes of Spot, Futures, and Call Options: Using Tri-EGARCH Models
碩士 === 國立臺北大學 === 企業管理學系 === 95 === Previous researchers usually use GARCH models in estimating volatility for evaluation of value at risk (VaR) performance. There are very few academic articles talked about that interaction with assets would affect the VaR on these assets. A 744 daily data of Taiwa...
| 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/46977012921997440234 |