Zobrazeno 1 - 3
of 3
pro vyhledávání: '"Ling-Chin Kao"'
Publikováno v:
Banks and Bank Systems, Vol 6, Iss 2 (2011)
Externí odkaz:
https://doaj.org/article/95cea877de344905be1c86a0f30e976d
Autor:
Ling-Chin Kao, 高綾璟
93
In this paper, we employ EGARCH, representing rotation asymmetry effect, and NA-GARCH, representing shift asymmetry effect, with variations in their mean equations : ARMA(1,1), AR(1), MA(1), and “ in –mean” models as VaR forecast models
In this paper, we employ EGARCH, representing rotation asymmetry effect, and NA-GARCH, representing shift asymmetry effect, with variations in their mean equations : ARMA(1,1), AR(1), MA(1), and “ in –mean” models as VaR forecast models
Externí odkaz:
http://ndltd.ncl.edu.tw/handle/47014622009377983916
Autor:
Ling-Chin, Kao
Thesis (M.A.)--National Taiwan University Graduate Institute of Finance
Includes bibliographical references
Includes bibliographical references