關鍵字查詢 | 類別:期刊論文 | | 關鍵字:Applying the value-at-risk model to Taiwanese data

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序號 學年期 教師動態
1 94/2 財金系 陳玉瓏 副教授 期刊論文 發佈 Clearing margin system in the futures markets—Applying the value-at-risk model to Taiwanese data , [94-2] :Clearing margin system in the futures markets—Applying the value-at-risk model to Taiwanese data期刊論文Clearing margin system in the futures markets—Applying the value-at-risk model to Taiwanese dataChiu, Chien-Liang; Chiang, Shu-Mei; Hung, Jui-Cheng; Chen, Yu-Lung淡江大學財務金融學系Value-at-risk;Clearing margin system;TAIFEX;RiskMetrics;GARCH-tAmsterdam: Elsevier BV * North-HollandPhysica A: Statistical Mechanics and its Applications 367, pp.353-374This article sets out to investigate if the TAIFEX has adequate clearing margin adjustment system via unconditional coverage, conditional coverage test and mean relative scaled bias to assess the performance of three value-at-risk (VaR) models (i.e., the TAIFEX, RiskMetrics and GARCH-t). For the same model, original and absolute returns are compared to explore which can accurately capture the true risk. For the same return, daily and tiered adjustment methods are examined to evaluate which corresponds to risk best. The results indicate that the clearin
2 94/2 財金系 洪瑞成 教授 期刊論文 發佈 Clearing margin system in the futures markets—Applying the value-at-risk model to Taiwanese data , [94-2] :Clearing margin system in the futures markets—Applying the value-at-risk model to Taiwanese data期刊論文Clearing margin system in the futures markets—Applying the value-at-risk model to Taiwanese dataChiu, Chien-Liang; Chiang, Shu-Mei; Hung, Jui-Cheng; Chen, Yu-Lung淡江大學財務金融學系Value-at-risk;Clearing margin system;TAIFEX;RiskMetrics;GARCH-tAmsterdam: Elsevier BV * North-HollandPhysica A: Statistical Mechanics and its Applications 367, pp.353-374This article sets out to investigate if the TAIFEX has adequate clearing margin adjustment system via unconditional coverage, conditional coverage test and mean relative scaled bias to assess the performance of three value-at-risk (VaR) models (i.e., the TAIFEX, RiskMetrics and GARCH-t). For the same model, original and absolute returns are compared to explore which can accurately capture the true risk. For the same return, daily and tiered adjustment methods are examined to evaluate which corresponds to risk best. The results indicate that the clearin
3 94/2 財金系 邱建良 教授 期刊論文 發佈 Clearing margin system in the futures markets—Applying the value-at-risk model to Taiwanese data , [94-2] :Clearing margin system in the futures markets—Applying the value-at-risk model to Taiwanese data期刊論文Clearing margin system in the futures markets—Applying the value-at-risk model to Taiwanese dataChiu, Chien-Liang; Chiang, Shu-Mei; Hung, Jui-Cheng; Chen, Yu-Lung淡江大學財務金融學系Value-at-risk;Clearing margin system;TAIFEX;RiskMetrics;GARCH-tAmsterdam: Elsevier BV * North-HollandPhysica A: Statistical Mechanics and its Applications 367, pp.353-374This article sets out to investigate if the TAIFEX has adequate clearing margin adjustment system via unconditional coverage, conditional coverage test and mean relative scaled bias to assess the performance of three value-at-risk (VaR) models (i.e., the TAIFEX, RiskMetrics and GARCH-t). For the same model, original and absolute returns are compared to explore which can accurately capture the true risk. For the same return, daily and tiered adjustment methods are examined to evaluate which corresponds to risk best. The results indicate that the clearin
4 94/2 財金系 姜淑美 教授 期刊論文 發佈 Clearing margin system in the futures markets—Applying the value-at-risk model to Taiwanese data , [94-2] :Clearing margin system in the futures markets—Applying the value-at-risk model to Taiwanese data期刊論文Clearing margin system in the futures markets—Applying the value-at-risk model to Taiwanese dataChiu, Chien-Liang; Chiang, Shu-Mei; Hung, Jui-Cheng; Chen, Yu-Lung淡江大學財務金融學系Value-at-risk;Clearing margin system;TAIFEX;RiskMetrics;GARCH-tAmsterdam: Elsevier BV * North-HollandPhysica A: Statistical Mechanics and its Applications 367, pp.353-374This article sets out to investigate if the TAIFEX has adequate clearing margin adjustment system via unconditional coverage, conditional coverage test and mean relative scaled bias to assess the performance of three value-at-risk (VaR) models (i.e., the TAIFEX, RiskMetrics and GARCH-t). For the same model, original and absolute returns are compared to explore which can accurately capture the true risk. For the same return, daily and tiered adjustment methods are examined to evaluate which corresponds to risk best. The results indicate that the clearin
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