Intraday Value at Risk using high frequency data with application to the Taiwan Stock Exchange
碩士 === 銘傳大學 === 財務金融學系碩士班 === 99 === This study employs the log-WACD-ARMA-EGARCH and Monte Carlo method to calculate the intraday value at risk. The Intraday Value at Risk employing the high frequency data to calculate the risk, is generally used to measure the relevant risk. The advantage of the Mo...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/72449229179398551099 |