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    jsp.display-item.identifier=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/987654321/92298

    题名: Using Higher Moments to Estimate the Conditional Value at Risk of the Minimum Variance Hedging portfolio: Evidence from Hang Seng Stock Index Futures
    作者: Chuang, Chung-chu;Wang, Yi-Hsien;Yeh, Tsai-Jung;Chuang, Shuo-Li
    贡献者: 淡江大學管理科學學系
    关键词: value at risk;back-testing;level effect;stock index futures
    日期: 2013-05
    上传时间: 2013-09-27 10:45:44 (UTC+8)
    出版者: 新北市:淡江大學
    摘要: Portfolio returns usually demonstrate a heavy tail or skewness. If portfolio value at risk (VaR) is not considered to incorporate the distributions of third and fourth moments, bias results in the estimation of VaR. Considering to incorporate the distributions of the third and fourth moments, this study evaluates the Hang Seng stock index using the VaR of minimum variance hedging portfolio of future hedging and compares the performance of different models using back-testing. Empirical results indicate accuracy is improved when considering the
    distributions of third and fourth moments compared to without considering the distributions of third and fourth moments. Additionally, models that incorporate the leveling effect are more accurate than those without. This study thus recommends that investors consider incorporating the distributions of third and fourth moments, while simultaneously including the effects of leveling on the dynamic volatility model when constructing hedging portfolio. Furthermore, investors can also use the study results as a reference for risk management.
    關聯: Proceedings of the 2013 International Conference in Management Sciences and Decision Making=2013年管理科學與經營決策國際學術研討會論文集
    显示于类别:[管理科學學系暨研究所] 會議論文





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