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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/30039


    Title: 以實現波動率估計投資組合風險值
    Value at Risk of Portfolio with Realized Volatility
    Authors: 李承儒
    Contributors: 林信助
    李承儒
    Keywords: 風險值
    多變量GARCH模型
    實現波動率
    value at risk
    multivariate garch
    realized volatility
    Date: 2005
    Issue Date: 2009-09-11 17:06:47 (UTC+8)
    Abstract: 利用風險值作為投資組合的風險管理工具,必須考慮金融資產報酬率通常具有厚尾、高峰、波動叢聚以及資產間訊息與波動性的變化也會交互影響等現象;因此實證上通常以多變量GARCH模型作為估計投資組合變異數矩陣的方法。然而多變量GARCH模型卻存在有維度上的詛咒,當投資組合包含資產數增加時會加重參數估計上的困難度。另一種估計波動率的方法,稱為實現波動率,能比多變量GARCH模型更簡易地處理投資組合高維度的問題。本文即以實現波動率、BEKK多變量GARCH模型與CCC模型,並以中鋼、台積電、國泰金為研究對象,比較三種方法估計風險值的表現。而實證結果得到利用實現波動率確實適合應用在風險值的估計上,且在表現上有略勝一籌的現象。
    Reference: 中文部分
    洪幸資,2003,「控制風險值下的最適投資組合」,國立政治大學金融研究所,碩士論文。
    高櫻芬、謝家和,2002。「涉險值之衡量—多變量GARCH模型之應用」,經濟論文叢刊,30,273-312。
    許傑翔,2004,「多變量財務時間數列模型之風險值計算」,東吳大學商用數學所,碩士論文。
    翁偉哲,2004,「風險值偏誤之衡量:以台灣期貨交易所之股價期貨為例」,國立高雄第一科技大學金融營運所,碩士論文。
    英文部分
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    Description: 碩士
    國立政治大學
    國際經營與貿易研究所
    93351037
    94
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0093351037
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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