The Value at Risk Analysis of Hedge Fund Index
碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 96 === This paper investigates the Valu-at-Risk(VaR) of returns on hedge fund indexes using the RiskMetrics , the GARCH and the Markov Switching Models. Furthermore, we compared the Valu-at-Risk(VaR) between the RiskMetrics , the GARCH and the Markov Switching Mode...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Online Access: | http://ndltd.ncl.edu.tw/handle/89747403243675767108 |