Apply Copula Function in the Evaluation of Dependence and VaR for BRICS Portfolios
碩士 === 淡江大學 === 財務金融學系碩士班 === 101 === The study applies VAR-COV, CCC, DCC, and Copula based GJR-GARCH Model to evaluate Value at Risk for portfolios of BRICS. To refer to procedure Huang et al. (2009) proposed. On the other hand, the study applies Likelihood Ratio Test which Kupiec (1995) proposed a...
| 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/56792271128368156348 |