Power EWMA Model in Value at Risk Estimation
碩士 === 東吳大學 === 企業管理學系 === 91 === Financial asset returns are known to be nonnormal and tend to be leptokurtic with fat tails — as is commonly found in academic research. The Standard EWMA estimator with the normality assumption (used in JP Morgan''s RiskMetrics® model) will be inefficient...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2003
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| Online Access: | http://ndltd.ncl.edu.tw/handle/71802229133799544456 |