Modeling Long Run Risk with Macroeconomic Fundamentals
碩士 === 國立中央大學 === 財務金融研究所 === 98 === Generalizing the component GARCH by Engle and Rangel (2008), this paper proposes a new modeling and forecasting strategy for systemic risk both in the short term and long run. By utilizing the orthogonally decomposed stationary regularity series from real quarter...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2010
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/39949467187692157233 |