Does Subprime Mortgage Crisis Have Asymmetric and Structural Change on U.S. Stock Market?
碩士 === 國立成功大學 === 經濟學系碩博士班 === 101 === This paper applies “extreme value theory” to examine if risk indices of 23 sectoral indices based on the firms which composes the S＆P 500 index in U.S. stock market change due to subprime mortgage crisis. We respectively test if tail risk and tail quantile in...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2013
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| Online Access: | http://ndltd.ncl.edu.tw/handle/41258014179143799731 |