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    Please use this identifier to cite or link to this item: https://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:[Department of Money and Banking] Periodical Articles

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