Chiu, Chien-Liang; Chiang, Shu-Mei; Hung, Jui-Cheng; … - In: Physica A: Statistical Mechanics and its Applications 367 (2006) C, pp. 353-374
This article sets out to investigate if the TAIFEX has adequate clearing margin adjustment system via unconditional coverage, conditional coverage test and mean relative scaled bias to assess the performance of three value-at-risk (VaR) models (i.e., the TAIFEX, RiskMetrics and GARCH-t). For the...