English  |  正體中文  |  简体中文  |  Items with full text/Total items : 57615/91160 (63%)
Visitors : 13530957      Online Users : 352
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/98255

    Title: Backtesting VaR in consideration of the higher moments of the distribution for minimum-variance hedging portfolios
    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;Minimum-variance hedging portfolios;Backtest;Level effect;Futures
    Date: 2014-10-01
    Issue Date: 2014-06-26 09:03:49 (UTC+8)
    Publisher: Amsterdam: Elsevier BV * North-Holland
    Abstract: The higher moments of a distribution often lead to estimated value-at-risk (VaR) biases. This study's objective is to examine the backtesting of VaR models that consider the higher moments of the distribution for minimum-variance hedging portfolios (MVHPs) of the stock indices and futures in the Greater China Region for both short and long hedgers. The results reveal that the best backtesting VaR for the MVHP considered both the higher moments of the MVHP distribution and the asymmetry in volatility, cross-market asymmetry in volatility, and level effects in the covariance matrix of assets in the MVHP. These empirical results provide references for investors in risk management.
    Relation: Economic Modelling 42, pp.15–19
    DOI: 10.1016/j.econmod.2014.05.037
    Appears in Collections:[Department of Management Sciences] Journal Article

    Files in This Item:

    File Description SizeFormat
    Backtesting VaR in consideration of the higher moments.pdf225KbAdobe PDF689View/Open

    All items in 機構典藏 are protected by copyright, with all rights reserved.

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