Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Wang, Yu-Jen | en_US |
dc.contributor.author | Chung, Huimin | en_US |
dc.contributor.author | Guo, Jia-Hau | en_US |
dc.date.accessioned | 2014-12-08T15:32:43Z | - |
dc.date.available | 2014-12-08T15:32:43Z | - |
dc.date.issued | 2013 | en_US |
dc.identifier.issn | 1081-1826 | en_US |
dc.identifier.uri | http://hdl.handle.net/11536/22846 | - |
dc.identifier.uri | http://dx.doi.org/10.1515/snde-2012-0028 | en_US |
dc.description.abstract | We carry out a value-at-risk (VaR) analysis of an extremely popular strategy in the currency markets, namely, "carry trades," whereby a position purchased in high interest rate currencies is funded by selling low interest rate currencies. Since the natural outcome of the truncated normal distribution of interest-rate spreads combined with the normal distribution of exchange rate returns is a skew-normal distribution, we consider a skew-normal innovation with zero mean for our analysis of carry trade returns using generalized autoregressive conditional heteroskedasticity (GARCH) models. The stress testing results reveal that skew-normal or densities are suitable for the measurement of VaR for carry trade returns involving, for example, taking up a long position in Australian Dollars or Argentine Peso which are funded by selling Japanese Yen. | en_US |
dc.language.iso | en_US | en_US |
dc.subject | currency markets | en_US |
dc.subject | carry trade | en_US |
dc.subject | skew-normal GARCH | en_US |
dc.subject | EM-type Algorithm | en_US |
dc.title | A value-at-risk analysis of carry trades using skew-GARCH models | en_US |
dc.type | Article | en_US |
dc.identifier.doi | 10.1515/snde-2012-0028 | en_US |
dc.identifier.journal | STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS | en_US |
dc.citation.volume | 17 | en_US |
dc.citation.issue | 4 | en_US |
dc.citation.spage | 439 | en_US |
dc.citation.epage | 459 | en_US |
dc.contributor.department | 交大名義發表 | zh_TW |
dc.contributor.department | 資訊管理與財務金融系 註:原資管所+財金所 | zh_TW |
dc.contributor.department | National Chiao Tung University | en_US |
dc.contributor.department | Department of Information Management and Finance | en_US |
dc.identifier.wosnumber | WOS:000324170200005 | - |
dc.citation.woscount | 0 | - |
Appears in Collections: | Articles |