關鍵字查詢 | 類別:期刊論文 | | 關鍵字:Volatility behavior

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序號 學年期 教師動態
1 101/1 國企系 黃健銘 助理教授 期刊論文 發佈 Volatility behavior, information efficiency and risk in the S&P 500 index markets , [101-1] :Volatility behavior, information efficiency and risk in the S&P 500 index markets期刊論文Volatility behavior, information efficiency and risk in the S&P 500 index marketsChiang, Shu-Mei; Chung, Hui-Min; Huang, Chien-Ming淡江大學國際企業學系Abingdon: RoutledgeQuantitative Finance 12(9), pp.1421-1437We propose an ARJI-Trend model—a combination of the ARJI and component models—to capture the distinguishing features of US index returns, with the results indicating that our model has a good fit for the volatility dynamics of spot, floor- traded and E-mini index futures in US markets. Although certain analogous characteristics are discernible amongst the three indices (such as the responses by the transitory components to innovations, the high persistence in the trends, and the relative importance of jump variance), the reaction to news is found to be heterogeneous amongst the S&P 500 indices. Furthermore, the out-of-sample forecasting performances of both the ARJI-Trend model and the GARCH model are foun
2 96/2 財金系 邱建良 教授 期刊論文 發佈 Daily Volatility Behavior of Spot and Futures Indices in Taiwan: Evidence from an ARJI-X Model , [96-2] :Daily Volatility Behavior of Spot and Futures Indices in Taiwan: Evidence from an ARJI-X Model期刊論文Daily Volatility Behavior of Spot and Futures Indices in Taiwan: Evidence from an ARJI-X ModelChiu, Chien-liang; Liu, Hung-chun; Su, Hsin-mei淡江大學財務金融學系Empirical Economics Letters 7(3)tku_id:000100730;Made available in DSpace on 2011-10-24T02:24:04Z (GMT). No. of bitstreams: 0en<links><record><name>機構典藏連結</name><url>http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/72373</url></record></links>
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