An Investigation of Liquidity-adjusted VaR on TAIFEX ETF Futures
碩士 === 靜宜大學 === 會計學系 === 104 === This paper adopt Bangia et al.(1999) and Al Janabi(2009, 2011, 2013) empirical concepts to investigate the liquidity-adjusted VaR (LVaR) on five ETF Futures listed on Taiwan Futures Exchange(Taifex).We study traditional VaR based on the daily fluctuate of close price...
| 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/86056055894721567789 |