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    題名: 亞洲四小龍匯率報酬率尾部參數變化之探討
    作者: 薛承志
    貢獻者: 饒秀華
    薛承志
    關鍵詞: 高峰
    厚尾
    極值理論
    尾部指數
    結構變化
    High Kurtosis
    Heavy Tail
    Extreme Value Theorem
    Tail Index
    Structural Change
    日期: 2004
    上傳時間: 2009-09-11 17:11:28 (UTC+8)
    摘要: 一般而言財務資料具有高峰(High Kurtosis)及厚尾(Heavy Tail)的特性，極值理論(Extreme Value Theorem)即是著重於尾部極端事件發生的機率，描繒出尾部極端值的機率分配，以捕捉財務資料中具厚尾的現象，利用估算尾部指數(Tail Index) α值判斷尾部分配的厚、薄程度。一般在估算α值時均是假設α值是不會隨著時間而變動的穩定值，然而在我們所選取的樣本期間內，可能伴隨著一些重大事件，如金融風暴、或是制度面的改變等，均有可能造成尾部極端值發生機率的增加或減少，因此在其樣本期間所估算的α值不應假設為一不變的常數。本文即是針對亞洲四小龍的匯率資料做”尾部參數是否發生結構變化(Structural Change)”之假設檢定，並且找出發生結構變化的時點。
    實証結果發現，在1993~2004年間，亞洲四小龍的匯率報酬率其尾部參數確實有發生結構變化的情形。此結論對於風險管理者而言，必須注意到尾部參數α值應該是一個會隨著時間而改變的值，也就是在估算 值時應該要避開發生結構變化的可能時點，或許應於所要估計的樣本期間先執行尾部參數是否有結構變化的檢定，如此才能更準確的估算α值。
    參考文獻: 西文：
    Bertrand Candelon and Stefan Straetmans (2003). “Testing for Multiple Regimes in the Tail Behavior of Emerging Currency Returns,” ECB working paper nr. 324
    Bond, S.A., (2000). “Asymmetry and Downside Risk in Foreign Exchange Markets,” Working Paper, University of Cambridge
    Danielsson, J. and C.G. de Vries (1997). “Tail Index and Quantile Estimation with Very Hgh Frequency Data,” Journal of Empirical Finance, 4, 241-257
    Devajyoti Ghose and Kenneth F. Kroner (1995). “The Relationship Between GARCH and Symmetric Stable Processes: Finding the Source of Fat Tail in Financial Data,” Jounral of Empirical Finance, 2, 225-251
    DuMouchel, W.H. (1983). “Estimating the Stable Index in Order to Measure Tail Thickness: A Critique,” Annals of Statistics, 11, 1019-1031
    Duffie, D. and Pan, J. (1997). “An Overview of Value at Risk,” Journal of Derivatives, 4, 7-49
    Galbraith, JW and S. Zernov (2004). “Circuit Breakers and the Tail Index of Equity
    Returns,” Journal of Financial Econometrics, 2, 109-129.
    Hill, B.M., (1975). “A Simple General Approach to Inference about the Tail of a Distribution,” Annals of Statistics, 3, 1163-1174
    Hsing, T. (1991). “On Tail Index Estimation Using Dependent Data,” Annals of Statistics, 19, 1547-1569
    Hsing, T. (1993). “Extremal Index Estimation for a Weakly Dependent Stationary Sequence,” Annals of Statistics, 21, 2043-2071
    Jorion, P. (1997). “Value-at-Risk: The new benchmark for controlling market risk,” Chicago: Irwin. Publishing
    Mandelbrot, B.B. (1963). “The Variation of Certain Speculative Prices,” Journal of Business, 36, 394-419
    McNeil A.J. and Frey R. (2000). “Estimation of Tail-Related Risk Measures for Heteroscedastic Financial Time Series: An Extreme Value Approach.” Journal of Empirical Finance, 7, 271-300
    Niklas Wagner and Terry A. Marsh (2005). “Measuring Tail Thickness under GARCH and An Application to Extreme Exchange Rate Changes,” Journal of Empirical Finance, 12, 165-185
    Paul Embrechts (2000). “Extremes and Integrated Risk Management,” Risk Books, UBS Warburg
    Quinto, C.E. (1999). “Tail Index Estimation and Value-at-Risk with Dependent Data,” manuscript
    Quintos, C.、Fan, Z. and Phillips, P.C.B. (2001). “Structural Change in Tail Behavior and the Asian Financial Crisis.” Review of Economic Studies, 68, 633-663
    Ruey S. Tsay (2002). “Analysis of Financial Time Series,” University of Chicago, A Wiley-Interscience Publication John Wiley&Sons,Inc.
    Terence C. Mills (1999). “The Econometric Modelling of Financial Time Series second edition,” Cambridge University Press
    Vivian Fernandez (2003). “Extreme Value Theory and Value at Risk,” Revista de Analisis Economico, 18, 57-85
    Werner, T. and Upper, C. (2004). “Time Variation in the Tail Behavior of Bond Future Returns.” The Journal of Futures Markets, 24, 387-398
    中文：
    李佳晏 (2001) 「股價指數報酬率厚尾程度之研究」政治大學國際貿易所碩士論文
    陳俊宏 (2002) 「非齊質變異下尾端風險的衡量」 政治大學國際貿易所碩士論文
    魏輝娥 (2003) 「最適尾端參數估計之探討：台灣股票報酬風險值之應用」 中正大學國際經濟所碩士論文
    描述: 碩士
    國立政治大學
    國際經營與貿易研究所
    92351023
    93
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0923510231
    資料類型: thesis
    顯示於類別:[國際經營與貿易學系 ] 學位論文

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