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: | Chang, Chao-Chi, 張超琦 |
---|---|
Other Authors: | Chou, Heng-Chih |
Format: | Others |
Language: | en_US |
Published: |
2015
|
Online Access: | http://ndltd.ncl.edu.tw/handle/km4277 |
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