風險值與超額報酬抵換關係之探討

The Investigation of the Tradeoff between Value-at-Risk and Excess Returns

朱家慧(Chia-Hui Chu)

指導教授 ： 鄭婉秀

淡江大學/商學院/財務金融學系碩士班/碩士(2011年)

https://doi.org/10.6846/TKU.2011.01226

摘要

本篇摘要未授權

關鍵字

風險值 ； 已實現波動 ； 拔靴法 ； SGT分配 ； 金融海嘯

並列摘要

This abstract would not be displayed due to no authorization.

並列關鍵字

Value-at-Risk ； Realized Volatility ； Bootstrapping ； SGT distribution ； Global Financial Tsunami

參考文獻

Andersen, T. and T. Bollerslev, (1998), “Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts” International Economic Review, 39, pp. 885-905.

Angelidis, T. and S. Degiannakis, (2008), “Forecasting One-day-ahead VaR and Intra-Day Realized Volatility in the Athens Stock Exchange Market”, Managerial Finance, 34(7), pp. 489-497.

Angelidis, T., A. Benos and S. Degiannakis, (2004), ‘‘The Use of GARCH Models in VaR Estimation’’, Statistical Methodology, 1(2), pp. 105-28.

Angelidis, T. and S. Degiannakis, (2005), “Modeling Risk for Long and Short Trading Positions.” The Journal of Risk Finance, 6, pp. 226-38.

Baillie, R. T. and R. P. DeGennaro, (1990), “Stock Returns and Volatility.” Journal of Financial and Quantitative Analysis, 25(2), pp. 203-214.