Value-at-Risk Models Applied to Taiwan's Stock Market

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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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Bibliographic Details
Main Author:	Lin, Ching-Li
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2008
Subjects:	VAR
Online Access:	https://eprints.nottingham.ac.uk/22336/

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