Using extreme value theory to analyze the US sub-prime mortgage crisis on the clobal stock market
碩士 === 國立政治大學 === 經濟研究所 === 96 === The US sub-prime mortgage crisis greatly affected not only the US economy but also other countries in the world. This thesis employs the extreme value theory and Value at Risk (VaR) analysis to assess the impact of the US sub-prime mortgage crisis on various stock...
| Main Authors: | , |
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| Format: | Others |
| Language: | en_US |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/96800562117382114492 |