Return Models with Regime Switching and Applications on VaR computation
碩士 === 輔仁大學 === 應用統計學研究所 === 96 === The thesis mainly searches for a suitable model to measure VaR, for investors and financial institution, to estimate the risk of portfolio. With this new model, investors can maximize the profits under control of portfolio risk. The sample data we used are collect...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/86370155152197559946 |