Extreme-Value Theory and Its Financial VaR Applications
碩士 === 國立成功大學 === 統計學系碩博士班 === 95 === This thesis studied the extreme value theory on the estimation of the VaR for the financial investment with fat-tailed return distribution. It also explored the GARCH model when it came to model the conditional heteroscedasticity in the financial return data. Em...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/91529429732745988979 |