期刊論文
| 學年 | 105 |
|---|---|
| 學期 | 1 |
| 出版（發表）日期 | 2016-10-01 |
| 作品名稱 | Value at Risk for Integrated Returns and Its Applications to Equity Portfolios |
| 作品名稱（其他語言） | |
| 著者 | Hwai-Chung Ho; Hung-Yin Chen; Henghsiu Tsai |
| 單位 | |
| 出版者 | |
| 著錄名稱、卷期、頁數 | Statistica Sinica 26(4), p.1631-1648 |
| 摘要 | The present paper investigates the distribution quantile for integrated portfolio returns that follow a general class of multivariate stochastic volatility model. We propose a non-parametric quantile estimate that incorporates the rate with which the true quantile diverges as the integration horizon expands. The asymptotic normality established for the estimate enables us to construct the confidence interval for the true quantile. Monte Carlo experiments are conducted to demonstrate both the consistency and the advantages of our approach. Results on quantile estimates for the return distribution of the S&P 500 index are also presented. |
| 關鍵字 | Quantile; integrated returns; stochastic volatility model; value at risk |
| 語言 | en |
| ISSN | 1017-0405 |
| 期刊性質 | 國外 |
| 收錄於 | SCI |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 是 |
| 國別 | TWN |
| 公開徵稿 | |
| 出版型式 | ,電子版,紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/123170 ) |