A Two-Stage Approach to Allowing for Time-varying Volatility andHeavy-Tailed Distribution for Value-at-Risk Estimation
碩士 === 國立高雄第一科技大學 === 財務管理所 === 94 === ABSTRACT This study proposes a methodology, a simple two-stage method, to estimating Value-at-Risk (VaR). The proposed approach combines the Power EWMA allowing for time-varying volatility clustering to estimate the current volatility and extreme value theory (...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2005
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/66289405976611220994 |