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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/23783

    Title: 馬可夫狀態轉換模型與混合分配模型估計風險值之應用--以臺灣發行量加權股價指數為例
    Other Titles: Value at Risk with Markov Switching Process and Mixture Distribution: The Case of Taiwan Stock Exchange Capitalization Weighted Stock Index
    Authors: 洪瑞成;鄭婉秀;李命志;張清模
    Contributors: 淡江大學財務金融學系
    Keywords: 風險值;馬可夫狀態轉換模型;混合常態分配模型;混合誤差分配模型;壓力測試 VaR;Markov switching model;Mixture normal distribution model;Mixture error distribution model;Stress test
    Date: 2003-06
    Issue Date: 2013-07-11 11:21:05 (UTC+8)
    Publisher: 桃園縣:中原大學企業管理研究所
    Relation: 中原企管評論=Chung Yuan Management Review 1(1),頁45-64
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Journal Article

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