Pricing CO2 Emission Allowance Derivatives Following Tempered Stable GARCH Models
碩士 === 國立中央大學 === 財務金融研究所 === 99 === Empirical studies show that the hypothesis of normal distribution of residuals was often rejected. Therefore, this paper presents GARCH models with an infinitely divisible distributed innovation, referred to as the classical tempered stable (CTS) GARCH model and...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2011
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/90440077858759002347 |