Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/63904
DC Field | Value | Language |
---|---|---|
dc.contributor | 金融系 | en_US |
dc.creator | Chen, Fen-Ying ; Liao, Szu-Lang | en_US |
dc.creator | 陳芬英;廖四郎 | zh_TW |
dc.date | 2009-01 | en_US |
dc.date.accessioned | 2014-02-17T09:48:55Z | - |
dc.date.available | 2014-02-17T09:48:55Z | - |
dc.date.issued | 2014-02-17T09:48:55Z | - |
dc.identifier.uri | http://nccur.lib.nccu.edu.tw/handle/140.119/63904 | - |
dc.description.abstract | VaR is widely viewed as a measure of market risk of a portfolio. The purpose of this article is to provide a VaR model for foreign-asset portfolios in continuous time. In the VaR model, the VaRs are not only a function of volatilities of asset returns and exchange rate but also a function of correlation coefficient between foreign assets and exchange rate. Moreover, by backtesting, the empirical results show that the new VaR model can efficiently evaluate the market risk of foreign-asset portfolios. | en_US |
dc.format.extent | 608096 bytes | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | en_US | - |
dc.relation | Economic Modelling, 26(1), 234-240 | en_US |
dc.subject | Continuous time; Foreign-asset portfolio; Volatility of exchange rate; Correlation coefficient; Backtesting | en_US |
dc.title | Modelling VaR for Foreign-asset Portfolios in Continuous Time | en_US |
dc.type | article | en |
dc.identifier.doi | 10.1016/j.econmod.2008.07.004 | en_US |
dc.doi.uri | http://dx.doi.org/10.1016/j.econmod.2008.07.004 | en_US |
item.fulltext | With Fulltext | - |
item.grantfulltext | restricted | - |
item.openairetype | article | - |
item.languageiso639-1 | en_US | - |
item.openairecristype | http://purl.org/coar/resource_type/c_18cf | - |
item.cerifentitytype | Publications | - |
Appears in Collections: | 期刊論文 |
Files in This Item:
File | Description | Size | Format | |
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234-240.pdf | 593.84 kB | Adobe PDF2 | View/Open |
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