Modeling Extreme Risk in Stock Markets：The Influence of Data Dependence and Choice of Optimal Threshold Level on Extreme Value Models
碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 95 === Value at Risk is a widespread tool of risk management recently. It is a value that measures the worst loss of asset under the particular confidence level and possessed of period. Moreover, it is a quantile describing the tail of distribution of financial retu...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/94340679393918205019 |