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

標題:Backtesting VaR in consideration of the higher moments of the distribution for minimum-variance hedging portfolios
學年103
學期1
出版(發表)日期2014/10/01
作品名稱Backtesting VaR in consideration of the higher moments of the distribution for minimum-variance hedging portfolios
作品名稱(其他語言)
著者Chuang, Chung-Chu; Wang, Yi-Hsien; Yeh, Tsai-Jung; Chuang, Shuo-Li
單位淡江大學管理科學學系
出版者Amsterdam: Elsevier BV * North-Holland
著錄名稱、卷期、頁數Economic Modelling 42, pp.15–19
摘要The higher moments of a distribution often lead to estimated value-at-risk (VaR) biases. This study's objective is to examine the backtesting of VaR models that consider the higher moments of the distribution for minimum-variance hedging portfolios (MVHPs) of the stock indices and futures in the Greater China Region for both short and long hedgers. The results reveal that the best backtesting VaR for the MVHP considered both the higher moments of the MVHP distribution and the asymmetry in volatility, cross-market asymmetry in volatility, and level effects in the covariance matrix of assets in the MVHP. These empirical results provide references for investors in risk management.
關鍵字Value-at-risk; Minimum-variance hedging portfolios; Backtest; Level effect; Futures
語言英文(美國)
ISSN0264-9993
期刊性質國外
收錄於SSCI;
產學合作
通訊作者Chuang, Chung-Chu
審稿制度
國別荷蘭
公開徵稿
出版型式,紙本
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