教師資料查詢 | 類別: 期刊論文 | 教師: 李命志 LEE, MING-CHIH (瀏覽個人網頁)

標題:Why Does Skewness and the Fat-Tail Effect Influence Value-at-Risk Estimates? Evidence from Alternative Capital Markets
學年102
學期2
出版(發表)日期2014/05/01
作品名稱Why Does Skewness and the Fat-Tail Effect Influence Value-at-Risk Estimates? Evidence from Alternative Capital Markets
作品名稱(其他語言)
著者Su, Jung-Bin; Lee, Ming-Chih; Chiu, Chien-Liang
單位淡江大學財務金融學系
出版者Netherlands: Elsevier
著錄名稱、卷期、頁數International Review of Economics &; Finance 31, pp.59–85
摘要In this study, the generalized autoregressive conditional heteroskedasticity (GARCH) model involving skewed generalized error distribution (SGED) was used to estimate the corresponding volatility and value-at-risk (VaR) measures for various commodities distributed across four types of commodity markets. The empirical results indicated that the return (volatility) of most of the assets distributed in alternative markets significantly decreased (increased) as a result of the global financial crisis. Conversely, the oil crisis yielded inconsistent results. Regarding the influences of both crises on return and volatility, the global financial crisis was more influential than the oil crisis was. Moreover, regarding confidence levels, the skewness effect existed among VaR estimations for only the long position, whereas the fat-tail effect existed among the VaR estimations for only high confidence levels, irrespective of whether a long or short position was traded. Finally, regarding the popular confidence levels in risk management, the SGED (GED) was the optimal return distribution setting for a long (short) position.
關鍵字Value-at-Risk; GARCH models; Skewness effect; Fat-tail effect; Global financial crisis
語言英文(美國)
ISSN1059-0560
期刊性質國外
收錄於SSCI
產學合作
通訊作者
審稿制度
國別荷蘭
公開徵稿
出版型式紙本
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