| 题名: | Backtesting VaR in consideration of the higher moments of the distribution for minimum-variance hedging portfolios |
| 作者: | Chuang, Chung-Chu
Wang, Yi-Hsien
Yeh, Tsai-Jung
Chuang, Shuo-Li |
| 贡献者: | 財金系 |
| 关键词: | Value-at-risk
Minimum-variance hedging portfolios
Backtest
Level effect
Futures |
| 日期: | 2014-10 |
| 上传时间: | 2015-01-20 11:25:01 (UTC+8) |
| 摘要: | The higher moments of a distribution often lead to estimated value-at-risk (VaR) biases. This study's objective is to examine the backtesting of VaR models that consider the higher moments of the distribution for minimum-variance hedging portfolios (MVHPs) of the stock indices and futures in the Greater China Region for both short and long hedgers. The results reveal that the best backtesting VaR for the MVHP considered both the higher moments of the MVHP distribution and the asymmetry in volatility, cross-market asymmetry in volatility, and level effects in the covariance matrix of assets in the MVHP. These empirical results provide references for investors in risk management. (C) 2014 Elsevier B.V. All rights reserved. |
| 關聯: | ECONOMIC MODELLING 卷: 42 頁碼: 15-19 |
| 显示于类别: | [財務金融學系 ] 期刊論文
|
