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題名 Value-at-Risk Analysis for Long Term Interest Rate Futures: Fat-Tail and Long Memory in Return Innovations
作者 Wu,Ping-Tsung;Shieh,Shwu-Jane
謝淑貞
關鍵詞 Long memory; FIGARCH(1,d,1); Value-at-Risk; Kupiec LR test; Daily price limits
日期 2006-02
上傳時間 3-十二月-2008 13:51:06 (UTC+8)
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].
關聯 Journal of Empirical Finance, 14(2), 248-259
資料類型 article
DOI http://dx.doi.org/http://dx.doi.org/10.1016/j.jempfin.2006.02.001
dc.creator (作者) Wu,Ping-Tsung;Shieh,Shwu-Janeen_US
dc.creator (作者) 謝淑貞-
dc.date (日期) 2006-02en_US
dc.date.accessioned 3-十二月-2008 13:51:06 (UTC+8)-
dc.date.available 3-十二月-2008 13:51:06 (UTC+8)-
dc.date.issued (上傳時間) 3-十二月-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 enen_US
dc.language en-USen_US
dc.language.iso en_US-
dc.relation (關聯) Journal of Empirical Finance, 14(2), 248-259en_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 Innovationsen_US
dc.type (資料類型) articleen
dc.identifier.doi (DOI) 10.1016/j.jempfin.2006.02.001en_US
dc.doi.uri (DOI) http://dx.doi.org/http://dx.doi.org/10.1016/j.jempfin.2006.02.001en_US