The Study on the Value at Risk of Foreign Exchange Portfolio
碩士 === 東海大學 === 財務金融學系 === 101 === This paper attempts to improve the performance of Value at Risk (VaR) of exchange rate portfolio for mature and emerging markets by proposing a dynamic variance and covariance matrix estimation method. We proposed the appropriate Dynamic Conditional Correlation (...
| 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/74707184921034844899 |