期刊論文
| 學年 | 102 |
|---|---|
| 學期 | 2 |
| 出版（發表）日期 | 2014-04-28 |
| 作品名稱 | VaR/CVaR Estimation under Stochastic Volatility Models |
| 作品名稱（其他語言） | |
| 著者 | Chuan-Hsiang Han; Wei-Han Liu; Tzu-Ying Chen |
| 單位 | |
| 出版者 | |
| 著錄名稱、卷期、頁數 | International Journal of Theoretical and Applied Finance 17(2), 1450009 |
| 摘要 | This paper proposes an improved procedure for stochastic volatility model estimation with an application to Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) estimation. This improved procedure is composed of the following instrumental components: Fourier transform method for volatility estimation, and importance sampling for extreme event probability estimation. The empirical analysis is based on several foreign exchange series and the S&P 500 index data. In comparison with empirical results by RiskMetrics, historical simulation, and the GARCH(1,1) model, our improved procedure outperforms on average. |
| 關鍵字 | Stochastic volatility;Fourier transform method;importance sampling;(conditional) Value-at-Risk;backtesting |
| 語言 | en |
| ISSN | 1793-6322 |
| 期刊性質 | 國外 |
| 收錄於 | |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 是 |
| 國別 | SGP |
| 公開徵稿 | |
| 出版型式 | ,電子版 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/121418 ) |