한국 주식시장에서의 Factor-IGARCH를 이용한 VAR모형의 적합성 검증The performance of VAR model based on factor-IGARCH process in the Korean stock market
- Advisors
- 안창모; Ahn, Chang-Mo
- Description
- 한국과학기술원 : 금융공학전공,
- Publisher
- 한국과학기술원
- Issue Date
- 2001
- Identifier
- 166515/325007 / 000993648
- Language
- kor
- Description
학위논문(석사) - 한국과학기술원 : 금융공학전공, 2001.2, [ vi, 45 p. ]
- Keywords
요인; 시장위험; 위험관리; GARCH; market risk; Value at risk; Factor; IGARCH
- Appears in Collection
- KGSF-Theses_Master(석사논문)
- Files in This Item
- There are no files associated with this item.
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