VaR 모형의 비교 : GARCH 모형과 확률변동성 모형을 중심으로A comparison of Value at Risk models : GARCH vs. stochastic volatility

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Advisors
변석준researcherByun, Suk-Joonresearcher
Description
한국과학기술원 : 금융공학전공,
Publisher
한국과학기술원
Issue Date
2003
Identifier
181427/325007 / 020013745
Language
kor
Description

학위논문(석사) - 한국과학기술원 : 금융공학전공, 2003.2, [ v, 37 p. ]

Keywords

확률변동성모형; 일반화자기회귀조건부분산모형; 위험관리; 효율적 적률법; efficient method of moments; stochastic volatility; GARCH; VaR

URI
http://hdl.handle.net/10203/52159
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=181427&flag=dissertation
Appears in Collection
KGSF-Theses_Master(석사논문)
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