Value-at-Risk Forecasting Using Nonlinear Regression Quantile During the 2008-09 Financial Crisis
碩士 === 逢甲大學 === 統計與精算所 === 98 === Value-at-Risk (VaR) is a commonly used risk measure of the risk of loss on a specific portfolio of financial assets. VaR becomes important especially during the 2008-09 financial crisis. A well known semi-parametric model, the conditional autoregressive VaR (CAViaR)...
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| Format: | Others |
| Language: | en_US |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/10485523538432721189 |