Improving Hull and White's Method of Est
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Chang-Cheng Changchien; Chu-Hsiung Lin; Hsien-Chueh Peter Yang
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Article
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2011
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John Wiley and Sons
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English
โ 112 KB
๐ 1 views
## ABSTRACT We propose a method approach. We use six international stock price indices and three hypothetical portfolios formed by these indices. The sample was observed daily from 1 January 1996 to 31 December 2006. Confirmed by the failure rates and backtesting developed by Kupiec (Technique for