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    請使用永久網址來引用或連結此文件: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/18358

    題名: Estimation of Value-at-Risk under jump dynamics and asymmetric information
    作者: Chiu, Chien-liang;Lee, Ming-chih;Hung, Jui-cheng
    貢獻者: 淡江大學財務金融學系
    關鍵詞: economic analysis;model;price determination
    日期: 2005-10
    上傳時間: 2013-03-12 10:57:04 (UTC+8)
    出版者: Oxon: Routledge
    摘要: This paper employs three Value-at-Risk (VaR) models (GARJI, ARJI and asymmetric GARCH) to compare the performance of 1-day-ahead VaR estimates. The influences of price jumps and asymmetric information on the performance of VaR are investigated. Two stock indices (Dow Jones and S&P 500) and one exchange rate (Japanese yen) are illustrated for estimating the model-based VaR. The results suggest for asset returns which exhibit time-variant jumps and information asymmetry, the VaR estimates generated by the GARJI and ARJI models provide reliable accuracy for low and high confidence levels. Moreover, as MRSB indicated, the GARJI model is more efficient than alternative models.
    關聯: Applied Financial Economics 15(15), pp.1095-1106
    DOI: 10.1080/09603100500108410
    顯示於類別:[財務金融學系暨研究所] 期刊論文


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