Liquidity-Adjusted Intraday Value-at-Risk : Evidence from Taiwan Futures Markets
碩士 === 國立政治大學 === 金融學系 === 104 === With the development of Value-at-Risk(VaR), it has become an important indicator of risk estimation. We define more and more delicate model from VaR to Intraday VaR(IVaR) , even though these indicators do work significantly on overnight-risk estimation of most of p...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2016
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| Online Access: | http://ndltd.ncl.edu.tw/handle/2cqnpq |