| dc.creator (作者) | 張揖平;洪明欽;劉惠美;鄭翔書 | - |
| dc.creator (作者) | Chang, Yi-Ping;Hung, Ming-Chin;Liu, Hui-Mei;Cheng, Siang-Su | - |
| dc.date (日期) | 2004-06 | en_US |
| dc.date.accessioned | 19-Dec-2008 14:48:44 (UTC+8) | - |
| dc.date.available | 19-Dec-2008 14:48:44 (UTC+8) | - |
| dc.date.issued (上傳時間) | 19-Dec-2008 14:48:44 (UTC+8) | - |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/18120 | - |
| dc.description.abstract (摘要) | 本研究在資產報酬率之波動具有緩長記憶(long memory)的部分整合指數廣義自迴歸條件異質變異數（fractionally integrated exponential generalized autoregressive conditional heteroskedasticity；簡稱FIEGARCH）模型下，配合極端值理論(extreme value theory)計算風險值(value at risk)。本研究以新台幣兌美元匯率為例，實證結果發現其日報酬率之波動具有緩長記憶現象，且FIEGARCH模型配合極端值理論之風險值計算法的表現較為穩定。 | - |
| dc.description.abstract (摘要) | In this paper, we use the FIEGARCH model combined with extreme value theory to compute Value at Risk (VaR) measure for daily asset returns. Our empirical example in using TWD/USD exchange rate returns shows that the data reveal long memory phenomenon and the FIEGARCH model combined with extreme value theory provides a good representation in VaR estimation framework. | - |
| dc.format | application/ | en_US |
| dc.language | zh-TW | en_US |
| dc.language | en-US | en_US |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | 智慧科技與應用統計學報, 2(1), 51-70 | en_US |
| dc.subject (關鍵詞) | 風險值 ;緩長記憶性 ; FIEGARCH模型 ; 極端值理論 | - |
| dc.subject (關鍵詞) | Value at Risk;Long memory;FIEGARCH model;Extreme value theory | - |
| dc.title (題名) | FIEGARCH模型之風險值計算──以新台幣兌美元匯率為例 | en_US |
| dc.type (資料類型) | article | en |
