Value-at-Risk Models Applied to Taiwan's Stock Market
In this paper, the parametric normal method, the historical simulation method and the Monte Carlo simulation method are applied to Taiwan's stock marekt estimating the one-day 95% and 99% VaRs for the electronic and banking & insurance sector indices. Then, the basic frequency backtesting a...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2008
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| Online Access: | https://eprints.nottingham.ac.uk/22336/ |