Forecasting Value-at-Risk Based on Variant Smooth Transition Heteroskedastic Models
碩士 === 逢甲大學 === 統計學系統計與精算碩士班 === 102 === Value-at-Risk (VaR) is a popular instrument for financial risk management. This paper seeks to evaluate performance in VaR measures in a class of smooth transition (ST) heteroskedastic models. Three distinct ST functions with generalized autoregressive conditi...
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| Format: | Others |
| Language: | en_US |
| Published: |
2014
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| Online Access: | http://ndltd.ncl.edu.tw/handle/51881023695477942734 |