The computation of value at risk under time varying volatility models
Master's
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| Format: | Theses and Dissertations |
| Language: | English |
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2010
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| Online Access: | http://scholarbank.nus.edu.sg/handle/10635/14031 |
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sg-nus-scholar.10635-140312024-10-26T18:17:41Z The computation of value at risk under time varying volatility models FONG SHUE YONG STATISTICS & APPLIED PROBABILITY MARRIOTT, PAUL KENNETH CHUA TIN CHIU Value at Risk, Time Varying Volatility Models, Maximum Likelihood method, Monte Carlo Simulation, Metropolis Hasting algorithm, Gibbs Sampling Master's MASTER OF SCIENCE 2010-04-08T10:39:10Z 2010-04-08T10:39:10Z 2004-07-28 Thesis FONG SHUE YONG (2004-07-28). The computation of value at risk under time varying volatility models. ScholarBank@NUS Repository. http://scholarbank.nus.edu.sg/handle/10635/14031 NOT_IN_WOS en |
| institution |
National University of Singapore |
| building |
NUS Library |
| continent |
Asia |
| country |
Singapore Singapore |
| content_provider |
NUS Library |
| collection |
ScholarBank@NUS |
| language |
English |
| topic |
Value at Risk, Time Varying Volatility Models, Maximum Likelihood method, Monte Carlo Simulation, Metropolis Hasting algorithm, Gibbs Sampling |
| spellingShingle |
Value at Risk, Time Varying Volatility Models, Maximum Likelihood method, Monte Carlo Simulation, Metropolis Hasting algorithm, Gibbs Sampling FONG SHUE YONG The computation of value at risk under time varying volatility models |
| description |
Master's |
| author2 |
STATISTICS & APPLIED PROBABILITY |
| author_facet |
STATISTICS & APPLIED PROBABILITY FONG SHUE YONG |
| format |
Theses and Dissertations |
| author |
FONG SHUE YONG |
| author_sort |
FONG SHUE YONG |
| title |
The computation of value at risk under time varying volatility models |
| title_short |
The computation of value at risk under time varying volatility models |
| title_full |
The computation of value at risk under time varying volatility models |
| title_fullStr |
The computation of value at risk under time varying volatility models |
| title_full_unstemmed |
The computation of value at risk under time varying volatility models |
| title_sort |
computation of value at risk under time varying volatility models |
| publishDate |
2010 |
| url |
http://scholarbank.nus.edu.sg/handle/10635/14031 |
| _version_ |
1821186514263998464 |