波动性变化下的VaR历史模拟法实证研究

刘辉, 姚海祥, 马庆华

An Empirical Study of Historical Simulation Method of VaR with Changes in Volatility

LIU Hui, YAO Hai-xiang, MA Qing-hua

运筹与管理 . 2017, (12): 112 -118 . DOI: 10.12005/orms.2017.0293