VaR Estimation with Asymmetric GARCH Models
碩士 === 東吳大學 === 企業管理學系 === 91 === Some well-known characteristics are common to many financial time series. Volatility clustering is often observed (i.e. large changes tend to be followed by large changes and small changes tend to be followed by small changes; see Mandelbrot, 1963, for early evidenc...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2003
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| Online Access: | http://ndltd.ncl.edu.tw/handle/91254896042078049226 |