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政大典藏 > College of Commerce > Department of Money and Banking > Periodical Articles > 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 link:	http://dx.doi.org/10.1016/j.econmod.2015.11.016
DOI:	10.1016/j.econmod.2015.11.016
Appears in Collections:	[Department of Money and Banking] Periodical Articles

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