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: | Chen, Yan-Siang, 陳彥翔 |
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Other Authors: | Guo, Jia-Hau |
Format: | Others |
Language: | zh-TW |
Published: |
2018
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Online Access: | http://ndltd.ncl.edu.tw/handle/mwmeve |
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