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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/77643


    Title: 預測VaR:高階矩可行域未必越廣越好
    Authors: 郭炳伸
    Contributors: 國貿系
    Keywords: 風險價值;條件分布;高階矩
    Date: 2011
    Issue Date: 2015-08-17 17:44:59 (UTC+8)
    Abstract: 高階矩可行域反映了分布函數對樣本高階矩特征(非對稱和尖峰、厚尾等)的適應能力,是影響VaR預測績效的重要因素之一。本文以中、美、英、日四個股市的收益為樣本,實證比較了五種高階矩可行域各不相同的分布函數的VaR預測績效。結果發現,可行域過于寬廣(狹窄)的分布易于高(低)估樣本的偏度和峰度,并高(低)估VaR,而可行域適中的廣義偏斜-t和偏斜-t分布的預測績效相對較好。此結果可為后續研究改進VaR的預測績效提供有益借鑒。
    Relation: 數量經濟技術經濟研究,2011(11),124-137
    Data Type: article
    Appears in Collections:[Department of International Business] Periodical Articles

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