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 en
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 TWN
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
相關連結

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