Asset Modeling with Non-Gaussian Innovation and Applications to Asset Allocation
碩士 === 國立政治大學 === 風險管理與保險研究所 === 101 === Since the stock markets always have the characteristics of heavy-tailness, skewness and kurtosis and there exists tail dependence among the international stock markets, we can’t use the Gaussian distribution as our model. Recently, the generalized hyperb...
| Main Authors: | , |
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| Format: | Others |
| Language: | en_US |
| Online Access: | http://ndltd.ncl.edu.tw/handle/46293940112911143077 |