Model of Taiwan Bond Interest Rate：the comparison of MAR-GARCH model and Markov switch model
碩士 === 國立臺北大學 === 統計學系 === 95 === Value at Risk（VaR） is not only a good measurement of market risk for investment portfolio , but also a good way to measure pricing accordingly . In the past , there were many researches and studies on the model of calculating VaR , however , there were less focus on...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/75731680135004676989 |