利用混合模型估計風險值的探討
碩士 === 國立政治大學 === 統計學系 === 90 === Abstract Initially , Value at Risk (VaR) is calculated by assuming that the underline asset return is normal distribution, but this assumption sometimes does not consist with the actual distribution of asset return. Many researchers have found...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2002
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| Online Access: | http://ndltd.ncl.edu.tw/handle/86269462304690006277 |