Modeling Daily Value-at-Risk for Long-term Interest Rate Futures Using FIGARCH Models
碩士 === 國立政治大學 === 國際貿易研究所 === 92 === Value-at-Risk (VaR) has become the standard measure used to quantify market risk recently, and it is defined as the maximum expected loss in the value of an asset or portfolio, for a given probability α at a determined time period. This article uses the FIGARCH(1...
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| Format: | Others |
| Language: | en_US |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/42356631255690049554 |
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