VaR Analysis for the Dollar/Yen Exchange Rate Futures Returns with Fat-Tails and Long Memory
碩士 === 國立政治大學 === 國際貿易研究所 === 94 === In order to manage the exposure of the dollar/yen futures returns with regarding the long memory behavior in volatility, we use the HYGARCH(1,d,1) model with the data after the Plaza Accord to compute daily Value-at-Risk (VaR) of long and short trading positions....
| Main Authors: | , |
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| Format: | Others |
| Language: | en_US |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/37454470173477537056 |