English  |  正體中文  |  简体中文  |  全文笔数/总笔数 : 62805/95882 (66%)
造访人次 : 3968036      在线人数 : 110
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
搜寻范围 查询小技巧:
  • 您可在西文检索词汇前后加上"双引号",以获取较精准的检索结果
  • 若欲以作者姓名搜寻,建议至进阶搜寻限定作者字段,可获得较完整数据
  • 进阶搜寻

    jsp.display-item.identifier=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

    题名: Estimation of Value-at-Risk under jump dynamics and asymmetric information
    作者: Chiu, Chien-liang;Lee, Ming-chih;Hung, Jui-cheng
    贡献者: 淡江大學財務金融學系
    关键词: economic analysis;model;price determination
    日期: 2005-10
    上传时间: 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
    显示于类别:[財務金融學系暨研究所] 期刊論文


    档案 描述 大小格式浏览次数
    Estimation of Value-at-Risk under jump dynamics and asymmetric information.pdf274KbAdobe PDF3检视/开启



    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - 回馈