Add to ORKG[[sponsorship]]輔仁大學商學研究所; 輔仁大學統計資訊學系[[conferencetype]]兩岸[[conferencedate]]20120629~20120630[[booktype]]紙本[[iscallforpapers]]Y[[conferencelocation]]新北市, 臺
This paper shows how independent component analysis can be used to estimate the generalized orthogon...
The recent economic crisis of 2008/2009 boosted a discussion about effectiveness of popular methods...
The thesis compares GARCH volatility models and Stochastic Volatility (SV) models with Student's t d...
計畫編號：NSC100-2410-H032-024 研究期間：20110801~20120731 研究經費：260,000[[abstract]]本研究考慮在GARCH 模型下，採用靈活且彈性高的蒙地...
WOS: 000325234000004This study uses a value-at-risk method to investigate the GARCH(p,q), GJR-GARCH ...
144 σ.Προσομοίωση Μοντε Κάρλο και εύρεση αποδοτικού μετώπου με χρήση της μεθοδολογίας GARCHMonte car...
A resampling method based on the bootstrap and a bias-correction step is developed for improving the...
In this paper the performance of classical approaches and GARCH family models are evaluated and comp...
Abstract: In this paper, simulation techniques are used to estimate value-at-risk of the CARBS equit...
[[abstract]]本文主要延續McNeil 與 Frey (2000)所提出風險值評估模型，並針對McNeil 與 Frey (2000)應用極值理論估計標準化殘差項極值分配法加以改進，以簡化風...
This project explores behavioral driven simulations as an alternative to the existing classical meth...
This paper studies seven GARCH models, including RiskMetrics and two long memory GARCH models, in Va...
Abstract. The recent economic crisis of 2008/2009 boosted a discussion about effectiveness of popula...
Value-at-risk quantifies the amount of capital needed to handle future losses on investments at a gi...
Open House, ISM in National Center of Sciences Building, 2019.6.05統計数理研究所オープンハウス（学術総合センター）、R1.6.5ポスタ...
This paper shows how independent component analysis can be used to estimate the generalized orthogon...
The recent economic crisis of 2008/2009 boosted a discussion about effectiveness of popular methods...
The thesis compares GARCH volatility models and Stochastic Volatility (SV) models with Student's t d...
計畫編號：NSC100-2410-H032-024 研究期間：20110801~20120731 研究經費：260,000[[abstract]]本研究考慮在GARCH 模型下，採用靈活且彈性高的蒙地...
WOS: 000325234000004This study uses a value-at-risk method to investigate the GARCH(p,q), GJR-GARCH ...
144 σ.Προσομοίωση Μοντε Κάρλο και εύρεση αποδοτικού μετώπου με χρήση της μεθοδολογίας GARCHMonte car...
A resampling method based on the bootstrap and a bias-correction step is developed for improving the...
In this paper the performance of classical approaches and GARCH family models are evaluated and comp...
Abstract: In this paper, simulation techniques are used to estimate value-at-risk of the CARBS equit...
[[abstract]]本文主要延續McNeil 與 Frey (2000)所提出風險值評估模型，並針對McNeil 與 Frey (2000)應用極值理論估計標準化殘差項極值分配法加以改進，以簡化風...
This project explores behavioral driven simulations as an alternative to the existing classical meth...
This paper studies seven GARCH models, including RiskMetrics and two long memory GARCH models, in Va...
Abstract. The recent economic crisis of 2008/2009 boosted a discussion about effectiveness of popula...
Value-at-risk quantifies the amount of capital needed to handle future losses on investments at a gi...
Open House, ISM in National Center of Sciences Building, 2019.6.05統計数理研究所オープンハウス（学術総合センター）、R1.6.5ポスタ...
This paper shows how independent component analysis can be used to estimate the generalized orthogon...
The recent economic crisis of 2008/2009 boosted a discussion about effectiveness of popular methods...
The thesis compares GARCH volatility models and Stochastic Volatility (SV) models with Student's t d...