風險值於機率密度函數、單根與流動性風險溢酬之研究__臺灣人文及社會科學引文索引資料庫

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題名：	風險值於機率密度函數、單根與流動性風險溢酬之研究
作者：	邱臙珍
作者(外文)：	Yen-Chen Chiu
校院名稱：	國立中正大學
系所名稱：	財務金融研究所
指導教授：	莊益源
學位類別：	博士
出版日期：	2005
主題關鍵詞：	風險值；機率密度函數；單根；流動性風險溢酬；VaR；Value at Risk；Probability Density Function；Unit Root；Liquidity Risk Premium
原始連結：	連回原系統網址
相關次數：	被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0) 排除自我引用:0 共同引用:0 點閱:38

本論文總共有三篇文章，分別探討關於風險值(Value-at-Risk)理論的三個議題，各議題的研究內容摘要如下。
第一篇：機率密度函數風險值模型在臺灣店頭市場之實證研究。本文旨在探討以捕捉機率密度函數的風險值模型為研究對象，我們首度應用Knight, Satchell and Tran (1995)的Double-gamma分配來計算風險值，並比較EWMA、混合常態分配、t分配、高斯核心密度函數、指數核心密度函數及極值分配的GEV與GPD分配等共八種模型的績效。
第二篇：風險值估計值是否具有單根特性？本文旨在闡釋當應用迴歸模型探討風險值與其他變數的關係時，如Jorion(2002)證明公開揭露的風險值對於預測銀行未來金融收入之波動，具有資訊內涵時，其應用的迴歸模型是否可能產生假性迴歸？
第三篇：限價單投資策略其流動性風險溢酬之探討。本文旨在探討投資者下單策略可能因限價單稀少、市場交易量下降，投資者無法以市場價格變現其資產而導致的流動性風險議題，首度應用在風險值模型。本研究應用條件風險值模型以日內交易十、三十分鐘的委託訂單量及委託價格為基礎的報酬率，衡量投資者遞出委託限價賣單時具有價量依存關係的流動性風險溢酬。且將日內資料細分為各交易時段，以探討在開收盤時其流動性風險溢酬是否異於其他時段。並進一步利用複迴歸方式探討影響流動性風險溢酬的因子。

以文找文

The Studies On Taiwan’s OTC Market Using Value-at-Risk of Probability Density Function
Abstract
This paper provides a different approach to capture the effects of the Probability Density Function with “Value-at-Risk” (VaR). We first apply the Knight, Satchell and Tran’s (1995) Double-gamma distribution to measure VaR and examine models including EWMA, Mixture Normal, Student’s t, Gaussian Kernel, Epanechnikov Kernel, GEV and GPD. The results show that the EWMA is the best performer with one-day holding period and the Student’s t model tends to outperform the others with five-day holding period. In addition, the Double-gamma model also performs well in asset portfolio.
Keywords: Value at Risk, Probability Density Function, Kernel Density Function, Extreme Value Theory

以文找文

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