淡江大學機構典藏:Item 987654321/92298
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    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/92298


    Title: Using Higher Moments to Estimate the Conditional Value at Risk of the Minimum Variance Hedging portfolio: Evidence from Hang Seng Stock Index Futures
    Authors: Chuang, Chung-chu;Wang, Yi-Hsien;Yeh, Tsai-Jung;Chuang, Shuo-Li
    Contributors: 淡江大學管理科學學系
    Keywords: value at risk;back-testing;level effect;stock index futures
    Date: 2013-05
    Issue Date: 2013-09-27 10:45:44 (UTC+8)
    Publisher: 新北市：淡江大學
    Abstract: 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.
    Relation: 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
    Appears in Collections:[Department of Management Sciences] Proceeding

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