PENGUKURAN VALUE-AT-RISK DENGAN VOLATILITAS TAK KONSTAN DAN EFEK LONG MEMORY
Variance or standard deviation as a measure of risk can not always accommodate all risk of loss events occur. Emerged the idea of risk measurement is done by using quantile, which gave birth to the risk measure of Value-at-Risk. It is estimated that the risk measurement Value-at-Risk will continue t...
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| 格式: | Theses and Dissertations NonPeerReviewed |
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[Yogyakarta] : Universitas Gadjah Mada
2011
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| 在線閱讀: | https://repository.ugm.ac.id/90577/ http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=53075 |
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