Establishing the Dynamical Range Volatility and Correlation Models with Markov-switching Structure and its Empirical Application in VaR
博士 === 國立臺灣科技大學 === 財務金融研究所 === 101 === The main purpose of this dissertation is to introduce the Markov-switching method into the range-based volatility and correlation models, and use these two proposed models to empirical analysis. It is necessary to consider the nonlinear adjustment approach to...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2013
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| Online Access: | http://ndltd.ncl.edu.tw/handle/77366391407035213909 |