碩士 / 國立臺灣海洋大學 / 航運管理學系 / 101 / The first part of this study uses the SMA, EWMA, GARCH and Historical Simulation Method to evaluate the Value at Risk (VaR) of Baltic Dirty Tanker Index (BDTI) return rate. The results reveal that the performance of SMA and GARCH are then other methods’ performance. The second part is to exam whether the trade-off relationship is exist, by using Intertemporal Capital Asset Pricing Model (ICAPM) to check the risk premium parameters β is significant or not. Under the whole period model, only the β of sigma model is significant.
| Identifer | oai:union.ndltd.org:TW/101NTOU5301036 |
| Date | January 2013 |
| Creators | Yang-Ling Wu, 吳仰玲 |
| Contributors | Heng-Chih Chou, 周恆志 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 45 |
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