教師資料查詢 | 類別: 期刊論文 | 教師: 陳姿穎CHEN, TZU-YING (瀏覽個人網頁)

標題:VaR/CVaR Estimation under Stochastic Volatility Models
學年102
學期2
出版(發表)日期2014/04/28
作品名稱VaR/CVaR Estimation under Stochastic Volatility Models
作品名稱(其他語言)
著者Chuan-Hsiang Han; Wei-Han Liu; Tzu-Ying Chen
單位
出版者
著錄名稱、卷期、頁數International Journal of Theoretical and Applied Finance 17(2), 1450009
摘要This paper proposes an improved procedure for stochastic volatility model estimation with an application to Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) estimation. This improved procedure is composed of the following instrumental components: Fourier transform method for volatility estimation, and importance sampling for extreme event probability estimation. The empirical analysis is based on several foreign exchange series and the S&P 500 index data. In comparison with empirical results by RiskMetrics, historical simulation, and the GARCH(1,1) model, our improved procedure outperforms on average.
關鍵字Stochastic volatility;Fourier transform method;importance sampling;(conditional) Value-at-Risk;backtesting
語言英文
ISSN1793-6322
期刊性質國外
收錄於
產學合作
通訊作者
審稿制度
國別新加坡
公開徵稿
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