教師資料查詢 | 類別: 會議論文 | 教師: 莊忠柱 Chung-chu Chuang (瀏覽個人網頁)

標題:Using Higher Moments to Estimate the Conditional Value at Risk of the Minimum Variance Hedging portfolio: Evidence from Hang Seng Stock Index Futures
學年101
學期2
發表日期2013/05/18
作品名稱Using Higher Moments to Estimate the Conditional Value at Risk of the Minimum Variance Hedging portfolio: Evidence from Hang Seng Stock Index Futures
作品名稱(其他語言)
著者Chuang, Chung-chu; Wang, Yi-Hsien; Yeh, Tsai-Jung; Chuang, Shuo-Li
作品所屬單位淡江大學管理科學學系
出版者新北市淡江大學
會議名稱The 2013 International Conference in Management Sciences and Decision Making=2013年管理科學與經營決策國際學術研討會
會議地點Tamsui, New Taipei City, Taiwan
摘要Portfolio returns usually demonstrate a heavy tail or skewness. If portfolio value at risk (VaR) is not considered to incorporate the distributions of third and fourth moments, bias results in the estimation of VaR. Considering to incorporate the distributions of the third and fourth moments, this study evaluates the Hang Seng stock index using the VaR of minimum variance hedging portfolio of future hedging and compares the performance of different models using back-testing. Empirical results indicate accuracy is improved when considering the
distributions of third and fourth moments compared to without considering the distributions of third and fourth moments. Additionally, models that incorporate the leveling effect are more accurate than those without. This study thus recommends that investors consider incorporating the distributions of third and fourth moments, while simultaneously including the effects of leveling on the dynamic volatility model when constructing hedging portfolio. Furthermore, investors can also use the study results as a reference for risk management.
關鍵字value at risk;back-testing;level effect;stock index futures
語言英文
收錄於
會議性質國際
校內研討會地點淡水校園
研討會時間20130518~20130518
通訊作者
國別中華民國
公開徵稿Y
出版型式
出處Proceedings of the 2013 International Conference in Management Sciences and Decision Making=2013年管理科學與經營決策國際學術研討會論文集
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