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題名:
臺灣不動產市場的下方風險--以臺灣四個縣市為例
書刊名:
住宅學報
作者:
江明珠
/
李政峰
/
欉清全
作者(外文):
Chiang, Ming-chu
/
Lee, Cheng-feng
/
Tsong, Ching-chuan
出版日期:
2011
卷期:
20:1
頁次:
頁1-23
主題關鍵詞:
涉險值
;
不動產市場
;
下方風險
;
極值理論
;
歷史模擬法
;
Value at risk
;
Real estate market
;
Downside risk
;
Extreme value theory
;
Historical simulation
原始連結:
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相關次數:
被引用次數:期刊(
2
) 博士論文(0) 專書(0) 專書論文(0)
排除自我引用:
2
共同引用:0
點閱:26
本文從不動產抵押貸款銀行的角度,以涉險值(Value at Risk)的觀念,衡量台灣四個縣市(台北市(縣)、台中市與高雄市)不動產市場的下檔風險;並藉由比較各縣市的涉險值大小,深入了解各區域不動產市場的風險。實證結果顯示,四縣市中除台中市外,其餘縣市的房價報酬率分配則可能為常態;其次,本文使用的三種模型在不同的信賴水準下,表現有些微差異,並 不存在單一模型能完全預測四縣市的房價風險;再者,各縣市的房價下跌風險高低依序為高雄市、台中市、台北市、台北縣,此一結果與一般認為台北市風險最高的認知,顯然大異其趣;最後,在最高的信賴水準下(99%),極值理論法能正確的預測四個縣市極端的房價跌幅,因此不失為一種較能反映房價風險的預測方法。
以文找文
The current study employs Value at Risk (VaR) to evaluate the downside risk of the real estate market in four areas (Taipei City, Taipei County, Taichung City and Kaohsiung City) in Taiwan, and compares the VaR estimates among them with in-depth measurements of real estate price risk in these metropolitan areas. The main empirical results show that, first, the distributions of house price returns in the four areas fall into two categories: non-normal fat-tailed distributions for Taichung City and normal distributions for the other three cities. Second, there is no universally appropriate VaR model that captures real estate risk in the four areas. Third, the risk levels of the four areas in order of size are Kaohsiung City, Taichung City, Taipei City, and Taipei County. Finally, under the highest level of confidence (99%), the model based on extreme value theory responds quickly to the changes in house price returns and provides correct VaR forecasts in these four areas compared to the other models.
以文找文
期刊論文
1.
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2.
Byrne, P.、Lee, S.(1997)。Real Estate Portfolio Analysis under Conditions of Non-Normality: The Case of NCREIF。Journal of Real Estate Portfolio Management,3(1),37-46。
3.
Koedijk, Kees G.、Kool, Clemens J. M.(1994)。Tail Estimates and the EMS Target Zone。Review of International Economics,2(2),153-165。
4.
Longin, F. M.(1999)。Optimal Margin Level in Futures Markets: Extreme Price Movements。The Journal of Futures Market,19(2),127-152。
5.
Bali, T. G.(2003)。An Extreme Value Approach to Estimating Volatility and Value at Risk。Journal of Business,76(1),83-108。
6.
Cotter, J.(2001)。Margin Exceedences for European Stock Index Futures Using Extreme Value Theory。Journal of Banking & Finance,25(8),1474-1502。
7.
Pritsker, M.(1997)。Evaluating Value at Risk Methodologies: Accuracy versus Computational Time。Journal of Financial Services Research,12(2/3),201-243。
8.
Hill, B. M.(1975)。A Simple General Approach to Inference about the Tail of a Distribution。The Annals of Statistics,3(5),1163-1174。
9.
Gençay, R.、Selçuk, F.、Ulugülyağci, A.(2003)。High Volatility, Thick Tails and Extreme Value Theory in Value-at-risk Estimation。Insurance: Mathematics and Economics,33(2),337-356。
10.
Longin, Francois M.(2000)。From Value at Risk to Stress Testing: The Extreme Value Approach。Journal of Banking & Finance,24(7),1097-1130。
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。
12.
Brueckner, Jan K.(2000)。Urban Sprawl: Diagnosis and Remedies。International Regional Science Review,23(2),160-171。
13.
Kupiec, Paul H.(1995)。Techniques for Verifying the Accuracy of Risk Measurement Models。Journal of Derivatives,3(2),73-84。
14.
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。
15.
Longin, F. M.(2005)。The Choice of the Distribution of Asset Returns: How Extreme Value Theory Can Help?。Journal of Banking and Finance,29(4),1017-1135。
16.
Liou, K. H.(2008)。Extreme Returns and Value at risk in International Securitized Real Estate Markets。Journal of Property Investment & Finance,26(5),418-446。
17.
Lu, C.、Wu, S. C.、Ho, L. C.(2009)。Applying VaR to REITs: A Comparison of Alternative Methods。Review of Financial Economics,18(2),97-102。
18.
Maurer, R.、Reiner, F.、Sebastian, S.(2004)。Characteristics of German Real Estate Return Distributions: Evidence from Germany and Comparisons to the US and UK。Journal of Real Estate Portfolio Management,10(1),59-76。
19.
Graff, R. A.、Harrington, A.、Young, M. S.(1997)。The Shape of Australian Real Estate Return Distributions and Comparisons to the United States。Journal of Real Estate Research,14(3),291-308。
20.
Brooks, C.、Clare, A. D.、Dalle Molle, J. W.、Persand, G.(2005)。A Comparison of Extreme Value Theory Approaches for Determining Value at Risk。Journal of Empirical Finance,12(2),339-352。
21.
Barunik J.、Vacha, L.(2010)。Monte Carlo-based Tail Exponent Estimator。Physica A,389(21),4863-4874。
22.
Bond, S. A.(2006)。Asymmetry and Downside Risk in Foreign Exchange Markets。The European Journal of Finance,12(4),333-345。
23.
Harrison, D. M.、Noordewier, T. G.、Yavas, A.(2004)。Do Riskier Borrowers Borrow More?。Real Estate Economics,32(3),358-411。
24.
Hsing, T.(1991)。On Tail Index Estimation Using Dependent Data。Annals of Statistics,19(3),1547-1569。
25.
Jokivuolle, E.、Peura, S.(2003)。Incorporating Collateral Value Uncertainty in Loss Given Default Estimates and Loanto-value Ratios。European Financial Management,9(3),299-314。
26.
Myer, F. C. N.、Webb, J. R.(1994)。Statistical Properties of Returns: Financial Assets versus Conmiercial Real Estate。Journal of Real Estate Finance and Economics,8(3),267-282。
27.
Resnick, S.、Starica, C.(1996)。Testing the Covariance Stationarity of Heavy-tailed Time Series。Journal Empirical Finance,3(2),211-248。
28.
Young, M. S.、Graff, R. A.(1995)。Real Estate Is Not Normal: A Fresh Look at Real Estate Return Distributions。Journal of Real Estate Finance and Economics,10(3),225-259。
29.
Young, M. S.、Lee, S. L.、Devaney, S. P.(2006)。Non-normal Real Estate Return Distributions by Property Type in the UK。Journal of Property Research,23(2),109-133。
30.
Zhou, J.、Anderson, R. I.(2010)。Extreme Risk Measures for International REIT Markets。Journal of Real Estate Finance and Economics。
研究報告
1.
Danielsson, J.、de Vries, C. G.(1997)。Beyond the Sample: Extreme Quantile and Probability Estimation。Rotterdam:Erasmus University。
圖書
1.
Embrechts, P.、Klüppelberg, C.、Mikosch, T.(2003)。Modelling Extremal Events for Insurance and Finance。London。
2.
Booth, P. M.、Matysiak, G. A.、Ormerod, P.(2002)。Risk Measurement and Management for Real Estate Investment Portfolios: Report for the Investment Property Forum。London。
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