Estimating Value at Risk on Foreign Currency—An Application of Markov Regime Switching GARCH Model
碩士 === 國立交通大學 === 財務金融研究所 === 106 === In this paper our target asset is the exchange rate of British pounds per U.S. dollar (GBP/USD) and Taiwan dollars per U.S. dollar (TWD/USD) from 1997 to 2017. We build suitable models respectively for the two assets based on their characteristics and use these...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2018
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| Online Access: | http://ndltd.ncl.edu.tw/handle/mwmeve |