淡江大學機構典藏:Item 987654321/123170
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    题名: Value at Risk for Integrated Returns and Its Applications to Equity Portfolios
    作者: Ho, Hwai-Chung;Chen, Hung-Yin;Tsai, Henghsiu
    关键词: Quantile;integrated returns;stochastic volatility model;value at risk
    日期: 2016-10
    上传时间: 2023-04-28 17:09:33 (UTC+8)
    出版者: Academia Sinica * Institute of Statistical Science
    摘要: The present paper investigates the distribution quantile for integrated portfolio returns that follow a general class of multivariate stochastic volatility model. We propose a non-parametric quantile estimate that incorporates the rate with which the true quantile diverges as the integration horizon expands. The asymptotic normality established for the estimate enables us to construct the confidence interval for the true quantile. Monte Carlo experiments are conducted to demonstrate both the consistency and the advantages of our approach. Results on quantile estimates for the return distribution of the S&P 500 index are also presented.
    關聯: Statistica Sinica 26(4), p.1631-1648
    DOI: 10.5705/ss.2014.228t
    显示于类别:[會計學系暨研究所] 期刊論文

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