English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 91913/122132 (75%)
Visitors : 25727370      Online Users : 227
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/63904
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/63904

    Title: Modelling VaR for Foreign-asset Portfolios in Continuous Time
    Authors: Chen, Fen-Ying;Liao, Szu-Lang
    Contributors: 金融系
    Keywords: Continuous time;Foreign-asset portfolio;Volatility of exchange rate;Correlation coefficient;Backtesting
    Date: 2009-01
    Issue Date: 2014-02-17 17:48:55 (UTC+8)
    Abstract: VaR is widely viewed as a measure of market risk of a portfolio. The purpose of this article is to provide a VaR model for foreign-asset portfolios in continuous time. In the VaR model, the VaRs are not only a function of volatilities of asset returns and exchange rate but also a function of correlation coefficient between foreign assets and exchange rate. Moreover, by backtesting, the empirical results show that the new VaR model can efficiently evaluate the market risk of foreign-asset portfolios.
    Relation: Economic Modelling, 26(1), 234-240
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1016/j.econmod.2008.07.004
    DOI: 10.1016/j.econmod.2008.07.004
    Appears in Collections:[金融學系] 期刊論文

    Files in This Item:

    File Description SizeFormat
    234-240.pdf593KbAdobe PDF884View/Open

    All items in 政大典藏 are protected by copyright, with all rights reserved.

    社群 sharing

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback