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    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/112112
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/112112

    Title: Empirical analysis of stock indices under a regime-switching model with dependent jump size risks
    Authors: 林士貴
    Hsu, Yuan-Lin
    Lin, Shih-Kuei
    Hung, Ming-Chin
    Huang, Tzu Hui
    Contributors: 金融系
    Keywords: Markov regime-switching model;Volatility clustering;Jump risks;Stock index
    Date: 2016-04
    Issue Date: 2017-08-23 11:21:02 (UTC+8)
    Abstract: In this study, we propose a regime-switching model with dependent jump size risks to capture important characteristics of cyclical movements and abnormal shock events. We further demonstrate that the two-state model provides asymmetric and leptokurtic return features, and volatility clustering is observed empirically using 12 years of daily data for the S&P 500, Dow Jones Industrial Average (DJIA), and Nikkei 225 indices. In addition, our results indicate that the regime-switching model with dependent jump size risks is superior to the competing models.
    Relation: Economic Modelling, 54, 260-275
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1016/j.econmod.2015.11.016
    DOI: 10.1016/j.econmod.2015.11.016
    Appears in Collections:[金融學系] 期刊論文

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