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    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/23578

    Title: 原油價格風險值的估計-拔靴法的應用
    Other Titles: Estimating Value-at-Risk of Oil Price Using the Bootstrapping Approach
    Authors: 李命志;李彥賢;張智超
    Contributors: 淡江大學財務金融學系
    Date: 2005-06
    Issue Date: 2009-11-30 17:45:18 (UTC+8)
    Publisher: 財團法人金融聯合徵信中心
    Abstract: 許多實證研究發現在金融商品報酬波動性之估計上GARCH相關模型有不錯的估計效果,因此本文利用拔靴法處理GARCH相關模型配適後之殘差項以估計原油商品報酬波動性,計算風險值。以美國西德州原油現貨價格資料進行實證分析後發現透過拔靴法處理GARCH相關模型配適後之殘差項,確實能夠使風險值模型在資金使用效率上有明顯的改善;甚至當風險值估計期間資料發生結構性轉變時,拔靴法亦能使風險值模型在回溯測試上有較穩定的表現。
    Relation: 金融風險管理 1(2),頁 57-74
    Appears in Collections:[財務金融學系暨研究所] 期刊論文

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