Fat Tails and Value-at-Risk Analysis of Taiwan Stock Index Futures Markets: TAIFEX V.S. SGX-DT
碩士 === 國立高雄第一科技大學 === 財務管理所 === 90 === ABSTRACT The facts that the distribution of TAIFEX and SGX-DT Taiwan stock index futures returns exhibit fat tails. This paper applies the Modified Hill estimator to obtain tail index estimates and to examine the fat-tails of these stock index futures returns....
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2002
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| Online Access: | http://ndltd.ncl.edu.tw/handle/25195097860977780747 |