English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 91913/122132 (75%)
Visitors : 25745657      Online Users : 257
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/78215
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/78215


    Title: A GARCH with Time-Changed Lévy Innovation Model and Its Applications from an Economic Perspective
    Authors: Wu, Yang-Che;Liao, Szu-Lang;Shyu, David;Tzang, Shyh-Weir;Hung, Chih-Hsing
    廖四郎
    Contributors: 金融系
    Date: 2008-06
    Issue Date: 2015-09-02 17:07:17 (UTC+8)
    Abstract: The paper constructs a GARCH process with time-changed Lévy innovations from the economic perspective which assumes that the arrival of new information causes the asset return to be stochastic and volatility clustering. The GARCH (1,1) process with generalized hyperbolic innovation is introduced as a general form for the volatility process. The paper uses a special case of the process to discuss the economic meaning behind alternative dynamic behaviors, and then applies it in pricing a European option under the hypothesis that every investor selects the canonic martingale measure.
    Relation: ICFAI Journal of Financial Risk Management, 5(2), 7-19
    Data Type: article
    Appears in Collections:[金融學系] 期刊論文

    Files in This Item:

    File Description SizeFormat
    7-19.pdf285KbAdobe PDF609View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback