A Simplified ARMA-GARCH Method for VaR Estimation and Its Applications to Portfolio
碩士 === 國立高雄大學 === 統計學研究所 === 104 === The Basel Accord suggests to measure the market risk by Value-at-Risk (VaR). The financial institutions would suffer serious penalties or decreases the money using in investment if the VaR estimation are not accurate enough. So VaR estimation plays an important r...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2016
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| Online Access: | http://ndltd.ncl.edu.tw/handle/4d9pdh |