Forecasting Volatility and Capturing Downside Risk in Financial Markets under the Subprime Mortgage Crisis
碩士 === 淡江大學 === 財務金融學系碩士班 === 98 === This thesis applies alternative GARCH-type models to daily volatility forecasting with Value-at-Risk (VaR) application to the Taiwanese stock index futures and Standard & Poor’s Depositary Receipts (SPDRs) that suffered the global financial tsunami that occur...
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| Format: | Others |
| Language: | en_US |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/90258638164185318968 |