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題名：機率密度函數風險值模型在臺灣店頭市場之實證研究
書刊名：管理評論
作者：邱臙珍 引用關係／莊益源 引用關係／王祝三 引用關係
作者(外文)：Chiu, Yen-chen／Chuang, I-yuan／Wang, C. Edward
出版日期：2005
卷期：24:2
頁次：頁77-109
主題關鍵詞：風險值；機率密度函數；核心密度函數；極值理論；Value at risk；Probability density function；Kernel density function；Extreme value theory
原始連結：連回原系統網址new window
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本研究以捕捉機率密度的風險值模型為研究對象，我們應用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。實證的對象是臺灣83個店頭市場公司股票、等權投資組合及模擬投資組合。績效評比是以二項分配、條件涵蓋法與分配預測模型進行檢定。實證的結果顯示，在估計單日個股風險值方面，EWMA的表現最佳；在估計多日個股風險值方面，以Student's t分配的表現較為出色；而本文首度應用的Double-gamma分配在處理模擬投資組合風險值時其績效最優異。
This paper evaluates different probability density functions in the application of Value-at-Risk measures. We apply 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 and Extreme Value distributions. The data include 83 Taiwan OTC stocks, equal weighted portfolio and simulated portfolio. The tests based on binomial test, conditional coverage and distribution forecasts show that the EWMA performs best for one-day holding period and the Student's t model tends to outperform the others for five-day holding period. In addition, the Double-gamma model also performs well for simulated portfolio.
期刊論文
1.Smith, R.(1985)。Maximum Likelihood Estimation in a Class of Non-regular Cases。Biometrika，72，67-90。  new window
2.莊益源、林文昌、徐嘉彬、邱臙珍(20040100)。靜態與動態風險值模型績效之比較。證券市場發展，15(4)=60，107-159。new window  延伸查詢new window
3.Silvapulle, P.、Granger, C.(2001)。Large Returns, Conditional Correlation and Portfolio Diversification: A Value-at-Risk Approach。Quantitative Finance，58，542-551。  new window
4.Sheather, S. J.、Marron, J. S.(1990)。Kernel quantile estimators。Journal of the American Statistical Association，85，410-416。  new window
5.Venkataraman, S.(1997)。Value at Risk for a Mixture of Normal Distributions: The Use of Quasi-Bayesian Estimation Techniques。Economic Perspectives，21(2)，2-13。  new window
6.Lopez, J.(1999)。Methods for Evaluating Value-at-Risk Estimates。Economic Review，12，3-17。  new window
7.Butler, J. S.、Schachter, B.(1998)。Estimating Value-at-Risk with a Precision Measure by Combining Kernel Estimation with Historical Simulation。Review of Derivatives Research，1，371-390。  new window
8.Kim, Kenneth A.、Rhee, S. Ghon(1997)。Price Limit Performance: Evidence From the Tokyo Stock Exchange。Journal of Finance，52(2)，885-901。  new window
9.Duffie, D.、Pan, J.(1997)。An Overview of Value at Risk。The Journal of Derivatives，4(3)，7-49。  new window
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11.Danielsson, J.、De Vries, C. G.(1997)。Tail Index and Quantile Estimation with Very High Frequency Data。Journal of Empirical Finance，4(2/3)，241-257。  new window
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13.Praetz, P. D.(1972)。The Distribution of Share Price Changes。The Journal of Business，45(1)，49-55。  new window
14.Christoffersen, Peter F.(1998)。Evaluating Interval Forecasts。International Economic Review，39(4)，841-862。  new window
15.Kupiec, Paul H.(1995)。Techniques for Verifying the Accuracy of Risk Measurement Models。Journal of Derivatives，3(2)，73-84。  new window
16.McNeil, A. J.、Frey, R.(2000)。Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach。Journal of Empirical Finance，7(3/4)=56，271-300。  new window
17.Sutrick, K. H.(1993)。Reducing the Bias in Empirical Studies due to Limit Moves。The Journal of Futures Markets，13(5)，527-543。  new window
18.Drachman, J.、Crnkovic, C.(1996)。Quality Control。Risk，9，139-143。  new window
19.Gnedenko, B.(1943)。Sur la distribution limite du terme maximum d'une serie aleatorie。Annals of Mathematics，44，423-453。  new window
20.McNeil, A.(1997)。Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory。ASTIN Bulletin，27(1)，117-137。  new window
21.Pearson, N.、Smithson, C.(2000)。Beyond VaR。Risk，12，85-87。  new window
22.Satchell, S. E.、Knight, J. L.、Tran, K. C.(1995)。Statistical Modelling of Asymmetric Risk in Asset Returns。Applied Mathematical Finance，2(3)，155-172。  new window
23.Mao, James C. T.(1970)。Survey of Capital Budgeting: Theory and Practice。The Journal of Finance，25(2)，349-360。  new window
24.Parzen, Emanuel(1979)。Nonparametric Statistical Data Modeling。Journal of the American Statistical Association，74(365)，105-121。  new window
25.Yang, Shie-Shien(1985)。A Smooth Nonparametric Estimator of a Quantile Function。Journal of the American Statistical Association，80(392)，1004-1011。  new window
會議論文
1.McNeil, A.(1997)。The Peaks Over Thresholds Method for Estimating High Quantiles of Loss Distributions。沒有紀錄。23-43。  new window
研究報告
1.Chiang, R.、Wei, K. C.(1993)。Estimation of Volatility Under Price Limits。0。  new window
2.GarcÃa-Donato, Gonzalo、Gento, Pedro、Ortega, Juan(2001)。Normal versus Student in Measuring Value at Risk: An Empirical Bayesian Overview。  new window
學位論文
1.高志明(1999)。核心密度函數法在風險值估計的應用與評估(碩士論文)。銘傳大學。  延伸查詢new window
2.魏志安(2002)。核密度分配估計風險值之探討(碩士論文)。國立中正大學。  延伸查詢new window
圖書
1.Markowitz, Harry M.(1959)。Portfolio Selection: Efficient Diversification of Investment。New York：Wiley。  new window
2.Adams, Jane B.、Montesi, Corliss J.(1995)。Major Issues Related to Hedge Accounting。Newark, Connecticut：Financial Accounting Standards Board。  new window
3.Dowd, K.(2002)。Measuring Market Risk。New York：John Wiley and Sons, Inc.。  new window
4.Tsay, Ruey S.(2002)。Analysis of Financial Time Series。New York：John Wiley & Sons。  new window
5.Morgan, J. P.(1996)。Riskmetrics Technical Document。New York, NY：Morgan Guaranty Trust Company。  new window
6.Press, W. H.、Teukolsky, S. A.、Vetterling, W. T.、Flannery, B. P.(1992)。Numerical recipes in C: The art of scientific computing。Cambridge：Cambridge University Press。  new window
7.Jorion, P.(2000)。Value at Risk。McGraw-Hill。  new window
8.Silverman, B. W.(1986)。Density Estimation for Statistics and Data Analysis。Chapman and Hall。  new window
其他
1.Chou, P. H.，Chib, S.(1995)。Estimating the Optimal Hedge Ratio under Price Limits: A Bayesian Approach Using Gibbs Sampler，0。  new window
2.Bond, A.(2000)。Asymmetry and Downside Risk in Foreign Exchange Markets，Cambridge, UK。  new window
圖書論文
1.Danielsson, J.、De Vries, C. G.(2000)。Value-at-Risk and Extreme Returns。Extremes and Integrated Risk Management。Risk Book。  new window
 
 
 
 
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