Estimation of Portfolio VaR – Multivariate MAR-GARCH Model
碩士 === 國立臺北大學 === 統計學系 === 96 === This thesis mainly develops and tests new VaR measurement model, multi-variables MAR-GARCH model, for investors to estimate the risk of portfolio efficiently. With this new model, investors can maximize the profits under the control of portfolio risk. Wong and Li(20...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/87596241970214957626 |