Tail behavior of stock index futures and margin setting
博士 === 國立高雄第一科技大學 === 管理研究所 === 94 === Abstract To capture the variation in the tail behavior of financial returns distributions, firstly, this study provides a multiple structural changes model for detecting multiple structural changes in the tails of financial returns distributions. The proposed a...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/04752998671207820695 |