The Impact of Skewness And Kurtosis on The VAR in Futures And Options for Asia Pacific Indices
碩士 === 國立高雄第一科技大學 === 金融所 === 98 === This paper determined the VAR of index futures and options by adjusting the skewness and kurtosis using Cornish-Fisher expansion. There are four indexes being used--TAIEX, HIS, Nikkei 225, and KOSPI 200. We compared the results with Delta-Normal model and Delta-G...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/78499420832736053217 |