한국 주식시장에서의 Factor-IGARCH를 이용한 VAR모형의 적합성 검증 = The performance of VAR model based on factor-IGARCH process in the Korean stock market

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Advisors
안창모Ahn, 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

URI
http://hdl.handle.net/10203/52091
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=166515&flag=dissertation
Appears in Collection
KGSF-Theses_Master(석사논문)
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