The computation of value at risk under time varying volatility models

The computation of value at risk under time varying volatility models

Master's

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Bibliographic Details
Main Author: FONG SHUE YONG
Other Authors: STATISTICS & APPLIED PROBABILITY
Format: Theses and Dissertations
Language:English
Published: 2010
Subjects:
Value at Risk, Time Varying Volatility Models, Maximum Likelihood method, Monte Carlo Simulation, Metropolis Hasting algorithm, Gibbs Sampling
Online Access:http://scholarbank.nus.edu.sg/handle/10635/14031
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Institution: National University of Singapore
Language: English

Internet

http://scholarbank.nus.edu.sg/handle/10635/14031

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