Study of the Jump-Diffusion Model for the VaR under the Asymmetry of the Conditional Volatility
碩士 === 國立成功大學 === 統計學系碩博士班 === 97 === Many studies point out that the financial markets have characteristics of the asymmetry of the conditional volatility. The asymmetric GARCH models have been used to catch this phenomenon. The GJR GARCH model is the most used model for the asymmetry of the condit...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/31247046427799658678 |