想討論如果用HISTORICAL SIMULATION 來計VAR, 那公司如果派DIVIDEND,需要ADJUSTED DIVIDEND in price time series on the effective date?
因為dividend好像不需要adjust....因為market cap 好像小了...
但不adjust 就會有spike...
請求教
謝謝
if we adjust the dividend in the historical prices, like either put a factor/or extract the data from Bloomberg with the dividend adjustment. Although times series get smoothed, the Var would get smaller? As the value of the company get smaller?
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