COPULA BERSYARAT UNTUK MENGESTIMASI VALUE at RISK (Studi Kasus Saham Nasdaq dan S&P500)
Value at Risk (VaR) plays a central role in risk management nowadays. There are several methods that can be used to estimate VaR such as the Variance- Covariance, historical simulation and etc. Generally, these methods assume the normal distribution for the stock returns and the dependence between t...
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| Format: | Thesis |
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[Yogyakarta] : Universitas Gadjah Mada
2014
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