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    Title: 外匯投資組合之風險值評估-分量迴歸的應用
    Other Titles: Application of Quantile Regression to Estimating Value at Risk of Foreign Exchange Portfolio
    Authors: 李沃牆;柯中偉
    Contributors: 淡江大學財務金融學系
    Keywords: 分量迴歸;風險值;投資組合;回溯測試;Quantile regression;VaR;Portfolio;GARCH;Back testing
    Date: 2011-04
    Issue Date: 2013-07-11 11:21:34 (UTC+8)
    Publisher: 桃園縣:中原大學企業管理研究所
    Abstract: 本研究將Koenker與Bassett(1978)的分量回歸(Quantile Regression)導入風險值模型。透過人民幣、美元、日圓及港幣的外匯投資組合,並比較多變量CCC-GARCH及DCC-GARCH在變異數─變數共變法之風險值估計與迴歸分析,最後Kupeic和Christofferson 二種回朔測試方法檢定風險值模型績效。時憲結果發現,分量回歸結合多變數GARCH-type模型所求出的組合平均風險值較多變數的變異共變數組合風險低,而動態變異數模而亦較固定相關係數模型件數為低,而動態變異數模型以較固定相關係數模型低。投資組合風險值模型的回溯測試結果均顯示風險值模型式可以接受的。
    Relation: 中原企管評論=Chung Yuan Management Review 9(1),頁97-116
    Appears in Collections:[財務金融學系暨研究所] 期刊論文

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