COPULA BERSYARAT UNTUK MENGESTIMASI VALUE at RISK (Studi Kasus Saham Nasdaq dan S&P500)
Value at Risk (VaR) plays a central role in risk management nowadays. There are several methods that can be used to estimate VaR such as the Variance- Covariance, historical simulation and etc. Generally, these methods assume the normal distribution for the stock returns and the dependence between t...
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| Main Authors: | , |
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| 格式: | Theses and Dissertations NonPeerReviewed |
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[Yogyakarta] : Universitas Gadjah Mada
2014
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| 在線閱讀: | https://repository.ugm.ac.id/130674/ http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=71101 |
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| 機構: | Universitas Gadjah Mada |