馬可夫狀態轉換模型與混合分配模型估計風險值之應用--以臺灣發行量加權股價指數為例

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Please use this identifier to cite or link to this item: https://irlib.pccu.edu.tw/handle/987654321/37813

Title:	馬可夫狀態轉換模型與混合分配模型估計風險值之應用--以臺灣發行量加權股價指數為例 Value at Risk with Markov Switching Process and Mixture Distribution: The Case of Taiwan Stock Exchange Capitalization Weighted Stock Index
Authors:	洪瑞成鄭婉秀李命志張清模
Contributors:	財金系
Keywords:	風險值馬可夫狀態轉換模型混合常態分配模型混合誤差分配模型壓力測試 VaR Markov switching model Mixture normal distribution model Mixture error distribution model Stress test
Date:	2003-06
Issue Date:	2017-08-24 14:50:49 (UTC+8)
Relation:	中原企管評論 1:1 民92.06 頁45-64
Appears in Collections:	[Department of Banking & Finance ] periodical articles

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