| dc.creator (作者) | Wu,Ping-Tsung;Shieh,Shwu-Jane | en_US |
| dc.creator (作者) | 謝淑貞 | - |
| dc.date (日期) | 2006-02 | en_US |
| dc.date.accessioned | 3-Dec-2008 13:51:06 (UTC+8) | - |
| dc.date.available | 3-Dec-2008 13:51:06 (UTC+8) | - |
| dc.date.issued (上傳時間) | 3-Dec-2008 13:51:06 (UTC+8) | - |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/12450 | - |
| dc.description.abstract (摘要) | 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]. | - |
| dc.format | application/ | en_US |
| dc.language | en | en_US |
| dc.language | en-US | en_US |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | Journal of Empirical Finance, 14(2), 248-259 | en_US |
| dc.subject (關鍵詞) | Long memory; FIGARCH(1,d,1); Value-at-Risk; Kupiec LR test; Daily price limits | - |
| dc.title (題名) | Value-at-Risk Analysis for Long Term Interest Rate Futures: Fat-Tail and Long Memory in Return Innovations | en_US |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1016/j.jempfin.2006.02.001 | en_US |
| dc.doi.uri (DOI) | http://dx.doi.org/http://dx.doi.org/10.1016/j.jempfin.2006.02.001 | en_US |
