Value at risk and expected shortfall on risk assessment of the crude oil price
碩士 === 長榮大學 === 經營管理研究所 === 99 === Recently, studies find that most financial Return of Asset have the leptokurtosis and the fat-tails phenomenon, because normal distribution can not capture the fat-tails. Therefore, this study compares the skewed distribution and the traditional symmetric distribut...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2011
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/10817587898541652393 |