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基于商业银行汇率风险的经济资本配置 被引量:1

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摘要 文章首先检验了人民币对美元日汇率收益序列的特征,在此基础上,建立了ARCH、GARCH和EGARCH模型,比较发现GARCH(1,1)模型有最好的拟合效果。进而利用GARCH(1,1)模型预测条件方差,研究商业银行汇率风险的经济资本配置。
出处 《统计与决策》 CSSCI 北大核心 2009年第4期136-137,共2页 Statistics & Decision
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参考文献7

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二级参考文献18

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