Value-at-Risk Analysis of Shipping Freight Indices with the Long Memory Volatility Process
博士 === 國立臺灣海洋大學 === 航運管理學系 === 103 === This study aims to apply Value-at-Risk (VaR) models to evaluate the risk of dry bulk shipping freight indices, tanker shipping freight indices, and container shipping freight indices, when there is a long memory volatility process. Assuming that investors in th...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2015
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| Online Access: | http://ndltd.ncl.edu.tw/handle/km4277 |