A Risk Measurement Based on ACD-GARCH Type Models for The Equity Stocks in Taiwan
碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 99 === Risk management is important as intraday price variation occurs frequently. The main objective of this study is intended to model transaction data under the ACD model, and to use the ACD-GARCH type models to capture the stock price volatility. This study tries...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2011
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/86013729375378558795 |