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    题名: 白銀期貨的價格限制-以馬可夫鏈蒙地卡羅方法分析
    price limits in the silver futures market: a MCMC approach
    作者: 鄭仲均
    贡献者: 謝淑貞
    鄭仲均
    关键词: 價格限制
    風險值
    MCMC
    FIGARCH
    日期: 2006
    上传时间: 2016-05-06 16:34:45 (UTC+8)
    摘要: 在這篇論文中，我們運用馬可夫鏈蒙地卡羅(MCMC)方法來估計沒有價格限制下的白銀期貨價格。接著我們採用FIGARCH模型來計算VaR值，以進而評估估計成果。在本文中我們分別對三種不同分配下的FIGARCH模型計算VaR值，而實證結果顯示出在沒有價格限制下，白銀期貨有較好的估計結果。
    In this paper, we try to implement the MCMC method to simulate the price of the silver futures without price limits. Then we compute the VaR by using the FIGARCH model because of the long memory properties in our data. There are three distributions we use to estimate model and compute VaR. The empirical results show that the silver futures without price limits performs better in computing in-sample VaR.
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    描述: 碩士
    國立政治大學
    國際經營與貿易學系
    93351029
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0093351029
    数据类型: thesis
    显示于类别:[國際經營與貿易學系 ] 學位論文

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