最適尾端參數估計之探討：台灣股票報酬風險值之應用
碩士 === 國立中正大學 === 國際經濟研究所 === 91 === As a measure of the exposed market risk for a financial asset, Value at Risk (VaR) has become the most popular method. Among numerous calculations of VaRs, methods based on extreme value theory (EVT) have been studied considerably in theorectical and empirical l...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2003
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| Online Access: | http://ndltd.ncl.edu.tw/handle/36420742785609252772 |