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引文資料
題名:
臺灣貨幣市場的開放是否改變短期利率風險?--極值理論的應用
書刊名:
高雄應用科技大學學報
作者:
江明珠
/
連春紅
/
李政峰
作者(外文):
Chiang, Ming-chu
/
Lien, Chung-hung
/
Lee, Cheng-feng
出版日期:
2008
卷期:
37
頁次:
頁199-219
主題關鍵詞:
風險值
;
厚尾
;
Hill估計式
;
GARCH模型
;
Value-at-risk
;
Extreme value theory
;
GARCH model
;
Fat tails
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:16
本文實證分析臺灣短期利率變動極端行為在開放中、開放後的差異,並建議最適合臺灣商業本票利率的風險值模型。我們應用極值理論模型估計商業本票利率變動分配的尾部,並比較開放中、開放後兩個子樣本期間內,極值模型於計算風險值之實際表現。本文亦建議一種條件極值非參數估計法,此法結合GARCH模型與非參數法,用以估計異質數列的條件機率分配之尾部。實證結果顯示,臺灣商業本票利率的變動分配具有厚尾與不對稱現象,表示常態分配的假設對於風險值的計算並不適當;正式的統計檢定結果顯示,在開放中,條件利率變動分配之右尾較左尾為厚;然兩尾的厚尾程度在開放後並無顯著差異,此外,有更強的證據支持條件利率變動分配的左尾曾發生結構性改變,而右尾發生結構性改變的可能性較低;回溯測試的結果指出,應用非參數法時不能忽略利率資料的相依性與條件異質性;相較於其它模型,結合GARCH模型與非參數法的方式在風險值的預測績效最佳,且表現最為穩健,較不受開放政策的影響;就各信賴水準下的模型表現而言,極值模型在預測高信賴水準(如99%,99.5%)的風險值上,確實有不錯的能力,凸顯其在風險管理領域的重要角色。
以文找文
We empirically analyze the extreme behavior of short term interest rate changes of Taiwan and suggest the proper models for VaR (Value at risk) estimation. By applying extreme value theory (EVT), we characterize the tails of distributions of changes of Taiwan Commercial Paper rate and evaluate VaR forecasting performances of EVT models. Comparisons are made between a subperiod, from 1992 through 1998, in which the deregulation policies been implemented with a subperiod followed by this. We propose a method that combined GARCH and non-parametric EVT model for estimating the tail index of conditional distribution of heteroscedastic financial time series. The empirical results show that the distributions of changes of rate are fat-tailed and asymmetric, indicating the normality assumption for VaR calculation is inappropriate. According to the results of formal statistical tests, we find that the right tail of conditional distribution is statistically fatter than the left one during deregulation. However, the tail fatness of two tails is insignificantly different after deregulation. In addition, the evidences of structure change after 1998 in left tails are stronger whereas those of right tails are weaker. In backtesting, the conditional non-parametric EVT model outperforms the other. Besides, its forecasting performances show robustness both during and post deregulation as well. These results imply that the dependence and the stochastic nature of the volatilities of time series should be accounted for when applying non-parametric EVT. Moreover, the empirical results also show that conditional EVT models provide more reliable VaR forecasting at a higher confidence level (eg. 99%, 99.5%).
以文找文
期刊論文
1.
Hols, M. C.、De Vries, C. G.(1991)。The Limiting Distribution of Extremal Exchange Rate Returns。Journal of Applied Econometrics,6(3),287-302。
2.
Kroner, Kenneth F.、Harjes, Richard H.、Brenner, Robin J.(1996)。Another Look at Models of the Short Term Interest Rate。Journal of Financial and Quantitative Analysis,31(1),85-107。
3.
Kearns, Phillip、Pagan, Adrian(1997)。Estimating the Density Tail Index for Financial Time Series。The Review of Economics and Statistics,79(2),171-175。
4.
Neftci, S. N.(2000)。Value at Risk Calculations, Extreme Events and Tail Estimation。Journal of Derivatives,7(3),23-38。
5.
De Haan, L.、Resnick, S. I.(1980)。A Simple Asymptotic Estimate for the Index of a Stable Distribution。Journal of the Royal Statistical Society,42,83-87。
6.
Booth, G. G.、Broussard, J. P.、Martikainen, T. P.、Puttonen, V.(1997)。Prudent Margin Levels in the Finnish Stock Index Futures Market。Management Science,43(8),1177-1188。
7.
Koedijk, K. G.、Kool, C. J. M.(1992)。Tail Estimates of East European Exchange Rates。Journal of Business & Economics Statistics,10(1),83-96。
8.
Koedijk, K. G.、Nissen, F. G. J. A.、Schotman, P. C.、Wolff, C. C. P.(1997)。The dynamics of Short-term Interest Rate Volatility Reconsidered。European Finance Review,1,105-130。
9.
Lund, Jesper、Andersen, Torben G.(1997)。Estimating Continuous-Time Stochastic Volatility Models of The Short-Term Interest Rate。Journal of Econometrics,77,343-377。
10.
Balkema, A. A.、De Haan, L.(1974)。Residual life time at great age。Annals of Probability,2(5),792-804。
11.
Cotter, J.(2001)。Margin Exceedences for European Stock Index Futures Using Extreme Value Theory。Journal of Banking and Finance,25(8),1475-1502。
12.
von Mises, R.(1936)。La Distribution de la plus grande de n valeurs。American Mathematical Society Selected Papers,2,271-294。
13.
Longin, F. M.(1999)。Optimal Margin Level in Futures Markets: Extreme Price Movements。The Journal of Futures Market,19(2),127-152。
14.
Bali, T. G.(2003)。An Extreme Value Approach to Estimating Volatility and Value at Risk。Journal of Business,76(1),83-108。
15.
Goldie, C. M.、Smith, R. L.(1987)。Slow Variation With Remainder: A Survey of the Theory and its Applications。Quarterly Journal of Mathematics,38(1),45-71。
16.
Jenkinson, A. F.(1955)。The frequency distribution of the annual maximum (or minimum) values of meteorological elements。Quarterly Journal of the Royal Meteorological Society,81(348),158-171。
17.
Hill, B. M.(1975)。A Simple General Approach to Inference about the Tail of a Distribution。The Annals of Statistics,3(5),1163-1174。
18.
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。
19.
Pickands, J. III(1975)。Statistical Inference Using Extreme Order Statistics。Annals of Statistics,3(1),119-131。
20.
Campbell, John Y.、Hentschel, Ludger(1992)。No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns。Journal of Financial Economics,31(3),281-318。
21.
Kupiec, Paul H.(1995)。Techniques for Verifying the Accuracy of Risk Measurement Models。Journal of Derivatives,3(2),73-84。
22.
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。
23.
Hall, P.(1990)。Using Bootstrap to Estimate Mean Square Error and Select Smoothing Parameters in Non-parametric Problems。Journal of Multivariate Analysis,32(2),177-203。
研究報告
1.
Phillips, P. C. B.、Loretan, M.(1990)。Testing Covariance Stationarity under Moment Conditional Failure with and Application to Common Stock Returns。
2.
Segers, J.(2001)。Abelian and Tauberian Theorems on the Bias of the Hill Estimator。University of Leuven。
圖書
1.
台灣貨幣市場新論編撰委員會(2006)。台灣貨幣市場新論:觀念.實務.展望。台北市:台灣金融研訓院。
延伸查詢
2.
de Haan, L.、Peng, L.(1994)。Comparison of tail index estimators。Erasmus University Rotterdam。
3.
Embrechts, P.、Kluppelberg, C.、Mikosch, T.(1997)。Modelling Extremal Events for Insurance and Finance。Berlin:Springer-Verlag Berlin Heidelberg。
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