THE MODIFIED VaR MODEL ADJUSTED BY DIFFERENT VOLATITY FORECASTS--EVIDENCE ON TAIWAN STOCK AND FUTURES MARKET INDEX
碩士 === 南華大學 === 企業管理系管理科學碩博士班 === 101 === In the past, the volatility pattern is assumed to be constant over the whole sample period. However, the global financial crisis happened more frequently in the past decade, this leads the traditional value of risk (VaR) model tends to underestimate the tr...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2013
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/14201093086926149398 |