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: | Cheng-Yuan Kao, 高振原 |
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Other Authors: | Wei-Chung Miao |
Format: | Others |
Language: | zh-TW |
Published: |
2018
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Online Access: | http://ndltd.ncl.edu.tw/handle/c4p8an |
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