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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/12450

    Title: Value-at-Risk Analysis for Long Term Interest Rate Futures: Fat-Tail and Long Memory in Return Innovations
    Authors: Wu,Ping-Tsung;Shieh,Shwu-Jane
    Keywords: Long memory;FIGARCH(1,d,1);Value-at-Risk;Kupiec LR test;Daily price limits
    Date: 2006-02
    Issue Date: 2008-12-03 13:51:06 (UTC+8)
    Abstract: This article uses the FIGARCH(1,d,1) models to calculate daily Value-at-Risk (VaR) for T-bond interest rate futures returns of long and short trading positions based on the normal, Student-t, and skewed Student-t innovations distributions. The empirical results show that based on Kupiec LR failure rate tests, in-sample and out-of-sample VaR values calculated using FIGARCH(1,d,1) model with skewed Student-t innovations are more accurate than those generated using traditional GARCH(1,1) models. Moreover, we find that the in-sample values of VaR are subject to a significant positive bias, as pointed out by Inui et al. [Inui, K., Kijima, M., Kitano, A., 2003. VaR is subject to a significant positive bias, working paper].
    Relation: Journal of Empirical Finance, 14(2), 248-259
    Data Type: article
    DOI 連結: http://dx.doi.org/http://dx.doi.org/10.1016/j.jempfin.2006.02.001
    DOI: 10.1016/j.jempfin.2006.02.001
    Appears in Collections:[國際經營與貿易學系 ] 期刊論文

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