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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/95264


    Title: 厚尾分配的週日效應
    Other Titles: The Day-Of-The-Week Effect on the Shape of the Heavy-Tailed Distribution
    Authors: 李命志;洪瑞成
    Contributors: 淡江大學財務金融學系
    Keywords: 日歷效果;厚尾分配;Day-of-the-week effect;Heavy-tailed distribution
    Date: 2007-04
    Issue Date: 2014-02-12 00:00:38 (UTC+8)
    Abstract: 本文檢定GARCH模型結合Politics(2004)的厚尾分配中之形狀參數是否具有周日效應。實證結果顯示道瓊與S&P 500的日報酬率除了星期三外,厚尾分配的參數均具有顯著的周日效應,此結論對風險管理,尤其是風險值的計算,具有重要的應用價值。
    This study examines the day-of-week-effect on the shape of the distribution by using the GARCH(1,1) model with the heavy-tailed distribution of Politis (2004). The empirical results showed that both returns of Dow Jones and S&P 500 significantly exhibited fat-tailed on Mon, Tues, Thurs and Fri, and this provided important implication on risk management, in particular the calculation of daily VaR.
    Relation: 2007金融創新與科際整合學術研討會論文集,7頁
    Appears in Collections:[財務金融學系暨研究所] 會議論文

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