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 en
ISSN 1793-6322
期刊性質 國外
收錄於
產學合作
通訊作者
審稿制度 是
國別 SGP
公開徵稿
出版型式 ,電子版
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/121418 )

SDGS 良好健康和福祉