Measuring Systemic Risk: A Dynamic Volatility Matrix Approach
碩士 === 國立清華大學 === 計量財務金融系 === 105 === In this paper, we follow the framework of measuring systemic risk proposed by Acharya et al (2012). We use the non-parametric Fourier transform method proposed by Malliavin and Mancino (2009) to construct the dynamic continuous-time model which aims to estimate...
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2017
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| Online Access: | http://ndltd.ncl.edu.tw/handle/vrrp94 |