Early Warning System using AVaR - Time Series Models with Standard Lévy Process
碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 99 === Empirical studies based on GARCH models show that the hypothesis that the distribution of residuals is normally distributed is often rejected (e.g., Duan, 1999; Menn and Rachev, 2009; Kim et al., 2010). Hence, most of the recent literature consider non-normal...
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| Format: | Others |
| Language: | en_US |
| Published: |
2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/81424724972687337002 |