| 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 | en_US |
| ISSN | 0264-9993 |
| 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 | 是 |
| 國別 | NLD |
| 公開徵稿 | |
| 出版型式 | ,紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/98255 ) |
| SDGS | 優質教育 |
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