English  |  正體中文  |  简体中文  |  全文筆數/總筆數 : 58323/91877 (63%)
造訪人次 : 14327273      線上人數 : 111
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
搜尋範圍 查詢小技巧:
  • 您可在西文檢索詞彙前後加上"雙引號",以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋,建議至進階搜尋限定作者欄位,可獲得較完整資料
  • 進階搜尋
    請使用永久網址來引用或連結此文件: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/72533

    題名: Modeling Value-at-Risk in Oil Price Using Bootstrapping Approach
    作者: Lee, Ming-chih;Chiu, Chien-liang;Cheng, Wan-hsiu
    貢獻者: 淡江大學財務金融學系
    關鍵詞: Crude oil;Value-at-Risk;Bootstrapping;Rolling
    日期: 2010-06
    上傳時間: 2011-10-24 10:32:23 (UTC+8)
    出版者: Mahe: EuroJournals
    摘要: This investigation estimates the Value-at-Risk (VaR) for the return on crude oil for WTI (West Texas Intermediate) via the RiskMetrics and AR-GARCH models using the rolling bootstrapping method. The empirical results demonstrate that the bootstrapping method is superior to no-bootstrapping method. The average quadratic loss function in bootstrapping method is significantly lower than in no-bootstrapping. It is evidence that the no-bootstrapping forecast is too confident and the bootstrapping forecast is too cautious for 1% VaR estimates. Moreover, the AR-GARCH model performs better than the RiskMetric model in no-bootstrapping, but not in bootstrapping. Finally, the longer the observation periods, the forecasting performance is improving.
    關聯: International Research Journal of Finance and Economics 40, pp.7-19
    顯示於類別:[財務金融學系暨研究所] 期刊論文


    檔案 大小格式瀏覽次數



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