An Empirical Study of the Relationship and Portfolio Value at Risk in Stock market of Association of Southeast Asian's five Nations and across Taiwan Strait
| Autor: | LIN, I-HSIEN, 林易賢 |
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| Rok vydání: | 2013 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 101 The main of this study is observed the trend correlation between the five countries of ASEAN and the two sides of the Taiwan Strait stock market, as well as the countries of the region between the changes in portfolio risk situations. Vector Autoregression Model and to observe the Granger causality, impulse response function in the interactions between the different portfolio stock market; In addition,use the copula function with the AR(1)-GARCH marginal distribution, historical simulation method and Monte Carlo simulation method to measure the risk of the portfolio value, explore the changes in the case of value-at-risk portfolio This study to explain the degree of interaction between the ASEAN and cross-strait stock market, found that in Singapore compared to the other six countries have an impact on relations；and was informed that the regional integration, cross-border investment portfolio risk dispersity different models with different results；through back-testing found that the structure of the considerations Copula with Monte Carlo simulation more correctly estimate the VaR model. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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