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    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/82755
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/82755


    Title: The volatility structure of oil futures market returns: an empirical investigation
    Authors: 廖四郎
    Lian, Yu-Min;Liao, Szu-Lang
    Contributors: 金融系
    Date: 2015
    Issue Date: 2016-03-21 15:46:34 (UTC+8)
    Abstract: In this study, it is investigated the impact of suddenly structural breaks on estimated GARCH-type models with normal and heavy-tailed distributions for daily oil futures market returns. More specifically, the multiple structural breaks in return variance over the whole sample period are detected by the Inclán-Tiao’s algorithm. The estimated results of the ICSS AR-GARCH models show that the volatility persistence decreases dramatically after controlling for such discrete breakpoints. The changing oil futures risk can be best captured by the ICSS AR-EGARCH-GED model. Specifically, the comparison of the in-sample model evaluation champions the AR-EGARCH-t model over competing models within each identified sub-period.
    Relation: Investment Management and Financial Innovations, Vol.12, No.2, 16-25
    Data Type: article
    Appears in Collections:[金融學系] 期刊論文

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