Value-at-Risk Estimations of Foreign Investments Involving Exchange Rate and Stock Market Risks - A Comparison between GARCH Family Models
碩士 === 國立臺灣科技大學 === 財務金融研究所 === 106 === This thesis studies the effective measurement of Value-at-Risk (VaR) when investors hold positions involving duel risks from exchange rate market and foreign stock market. GARCH family models are used to incorporate the conditional heteroskedasticity of each i...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2018
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| Online Access: | http://ndltd.ncl.edu.tw/handle/c4p8an |