English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113648/144635 (79%)
Visitors : 51614090      Online Users : 510
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU 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
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/12450


    Title: Value-at-Risk Analysis for Long Term Interest Rate Futures: Fat-Tail and Long Memory in Return Innovations
    Authors: Wu,Ping-Tsung;Shieh,Shwu-Jane
    謝淑貞
    Keywords: Long memory;FIGARCH(1,d,1);Value-at-Risk;Kupiec LR test;Daily price limits
    Date: 2006-02
    Issue Date: 2008-12-03 13:51:06 (UTC+8)
    Abstract: This article uses the FIGARCH(1,d,1) models to calculate daily Value-at-Risk (VaR) for T-bond interest rate futures returns of long and short trading positions based on the normal, Student-t, and skewed Student-t innovations distributions. The empirical results show that based on Kupiec LR failure rate tests, in-sample and out-of-sample VaR values calculated using FIGARCH(1,d,1) model with skewed Student-t innovations are more accurate than those generated using traditional GARCH(1,1) models. Moreover, we find that the in-sample values of VaR are subject to a significant positive bias, as pointed out by Inui et al. [Inui, K., Kijima, M., Kitano, A., 2003. VaR is subject to a significant positive bias, working paper].
    Relation: Journal of Empirical Finance, 14(2), 248-259
    Data Type: article
    DOI 連結: http://dx.doi.org/http://dx.doi.org/10.1016/j.jempfin.2006.02.001
    DOI: 10.1016/j.jempfin.2006.02.001
    Appears in Collections:[國際經營與貿易學系 ] 期刊論文

    Files in This Item:

    File Description SizeFormat
    248-259.pdf248KbAdobe PDF2915View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback