English  |  正體中文  |  简体中文  |  全文筆數/總筆數 : 58323/91877 (63%)
造訪人次 : 14327052      線上人數 : 129
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/987654321/96030


    題名: Why Does Skewness and the Fat-Tail Effect Influence Value-at-Risk Estimates? Evidence from Alternative Capital Markets
    作者: Su, Jung-Bin;Lee, Ming-Chih;Chiu, Chien-Liang
    貢獻者: 淡江大學財務金融學系
    關鍵詞: Value-at-Risk;GARCH models;Skewness effect;Fat-tail effect;Global financial crisis
    日期: 2014-05
    上傳時間: 2014-02-13 11:36:50 (UTC+8)
    出版者: Netherlands: Elsevier
    摘要: In this study, the generalized autoregressive conditional heteroskedasticity (GARCH) model involving skewed generalized error distribution (SGED) was used to estimate the corresponding volatility and value-at-risk (VaR) measures for various commodities distributed across four types of commodity markets. The empirical results indicated that the return (volatility) of most of the assets distributed in alternative markets significantly decreased (increased) as a result of the global financial crisis. Conversely, the oil crisis yielded inconsistent results. Regarding the influences of both crises on return and volatility, the global financial crisis was more influential than the oil crisis was. Moreover, regarding confidence levels, the skewness effect existed among VaR estimations for only the long position, whereas the fat-tail effect existed among the VaR estimations for only high confidence levels, irrespective of whether a long or short position was traded. Finally, regarding the popular confidence levels in risk management, the SGED (GED) was the optimal return distribution setting for a long (short) position.
    關聯: International Review of Economics & Finance 31, pp.59–85
    DOI: 10.1016/j.iref.2013.12.001
    顯示於類別:[財務金融學系暨研究所] 期刊論文

    文件中的檔案:

    檔案 描述 大小格式瀏覽次數
    index.html0KbHTML204檢視/開啟
    index.html0KbHTML250檢視/開啟
    Why Does Skewness and the Fat-Tail Effect Influence Value-at-Risk Estimates Evidence from Alternative Capital Markets.pdf1504KbAdobe PDF0檢視/開啟

    在機構典藏中所有的資料項目都受到原著作權保護.

    TAIR相關文章

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