The effect of exchange rate, futures market return and trading volume volatility on the dynamic VaR of stock market
碩士 === 國立彰化師範大學 === 企業管理學系 === 96 === Since 1990s, the world has experienced several financial crises. Practitioners and researchers pay a lot of attention to the risk management, and the accuracy of models is emphasized. Some studies apply extreme value theory(EVT) to VaR estimations, but the tradi...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2008
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/01507823500680060151 |