Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/49959
DC Field | Value | Language |
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dc.contributor.advisor | 毛維凌 | zh_TW |
dc.contributor.advisor | Mao,Wei-Ling | en_US |
dc.contributor.author | 沈之元 | zh_TW |
dc.contributor.author | Shen,Chih-Yuan | en_US |
dc.creator | 沈之元 | zh_TW |
dc.creator | Shen,Chih-Yuan | en_US |
dc.date | 2008 | en_US |
dc.date.accessioned | 2010-12-09T06:45:25Z | - |
dc.date.available | 2010-12-09T06:45:25Z | - |
dc.date.issued | 2010-12-09T06:45:25Z | - |
dc.identifier | G0096258009 | en_US |
dc.identifier.uri | http://nccur.lib.nccu.edu.tw/handle/140.119/49959 | - |
dc.description | 碩士 | zh_TW |
dc.description | 國立政治大學 | zh_TW |
dc.description | 經濟研究所 | zh_TW |
dc.description | 96258009 | zh_TW |
dc.description | 97 | zh_TW |
dc.description.abstract | 本文以台灣股價加權指數,使用 AR(3)-GJR-GRACH(1,1) 模型,白噪音假設為 Normal 、 Skew-Normal 、 Student t 、 skew-t 、 EPD 、 SEPD 、與 AEPD 等七種分配。著重於兩個部份,(一) Student t 分配一族與 EPD 分配一族在模型配適與風險值估計的比較;(二) 預測風險值區分為低震盪與高震盪兩個區間,比較不同分配在兩區間預測風險值的差異。\n\n實證分析顯示, t 分配一族與 EPD 分配一族配適的結果,無論是只考慮峰態 ( t 分配與 EPD 分配) ,或者加入影響偏態的參數 ( skew-t 分配與 SEPD 分配) , t 分配一族的配適程度都較 EPD 分配一族為佳。更進一步考慮分配兩尾厚度不同的 AEPD 分配,配適結果為七種分配中最佳。\n\n風險值的估計在低震盪的區間,常態分配與其他厚尾分配皆能通過回溯測試,採用厚尾分配效果不大;在高震盪的區間,左尾風險值回溯測試結果,常態分配與其他厚尾分配皆無法全數通過,但仍以 AEPD 分配為最佳。最後比較損失函數,左尾風險值估計以 AEPD 分配為最佳,右尾風險值則無一致的結果。因此我們認為 AEPD 分配可作為風險管理有用的工具。 | zh_TW |
dc.description.tableofcontents | 1 前言 1 \n2 風險衡量與相關文獻 4 \n2.1 風險值 4\n2.2 歷史模擬法(Historical Simulation) 4\n2.3 極值理論(Extreme Value Theory) 5\n2.4 GARCH Model 10\n2.5 動態歷史模擬法(Filtered Historical Simulation) 11 \n2.6 動態極值理論(Conditional Extreme Value Theory) 11 \n3 研究方法 12 \n3.1 AR-GJR-GARCH 13\n3.2 白噪音設定 13\n3.3 模型配適 19\n3.4 回溯測試(Back-testing) 21\n3.5 損失函數(Loss Function) 23\n4 實證分析 24 \n4.1 資料 24\n4.2 樣本內估計 26\n4.3 樣本外預測 31\n4.4 動態極值理論與動態歷史模擬法 35\n4.5 損失函數 42\n4.6 小結 46\n5 結論 47 \n附錄 50 | zh_TW |
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dc.format.mimetype | application/pdf | - |
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dc.format.mimetype | application/pdf | - |
dc.format.mimetype | application/pdf | - |
dc.format.mimetype | application/pdf | - |
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dc.format.mimetype | application/pdf | - |
dc.format.mimetype | application/pdf | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | en_US | - |
dc.source.uri | http://thesis.lib.nccu.edu.tw/record/#G0096258009 | en_US |
dc.subject | 風險值 | zh_TW |
dc.subject | 極值理論 | zh_TW |
dc.subject | skew-t 分配 | zh_TW |
dc.subject | 回溯測試 | zh_TW |
dc.subject | Value at Risk | en_US |
dc.subject | Extreme Value Theory | en_US |
dc.subject | asymmetric exponential power distribution | en_US |
dc.subject | Back-testing | en_US |
dc.title | 不對稱分配於風險值之應用 - 以台灣股市為例 | zh_TW |
dc.title | An application of asymmetric distribution in value at risk - taking Taiwan stock market as an example | en_US |
dc.type | thesis | en |
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item.languageiso639-1 | en_US | - |
item.fulltext | With Fulltext | - |
item.cerifentitytype | Publications | - |
item.openairetype | thesis | - |
item.openairecristype | http://purl.org/coar/resource_type/c_46ec | - |
item.grantfulltext | open | - |
Appears in Collections: | 學位論文 |
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