Forecasting Volatility for commodity futures using fat-tailed model
碩士 === 國立中山大學 === 財務管理學系研究所 === 99 === This paper considers the high-moments and uses the skew generalized error distribution (SGED) to explain the financial market data which have leptokurtic, fat-tailed and skewness. And we compare performance with the commonly used symmetrical distribution model...
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| Format: | Others |
| Language: | en_US |
| Published: |
2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/41228479502915676237 |