English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 109953/140892 (78%)
Visitors : 46223532      Online Users : 685
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
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/4174


    Title: 資產波動對市場訊息反應不對稱之探討：NIC曲線之應用與外幣選擇權市場的證據
    Other Titles: Reversion and Asymmetric Reaction of the Conditional Volatility to the News Shocks: Evidence from Implied Volatilities of Currency Options
    Authors: 杜化宇
    Keywords: VS-GARCH 模型;波動度不對稱;NIC 曲線;訊息衡量效果
    Date: 2004
    Issue Date: 2007-04-18 16:42:06 (UTC+8)
    Publisher: 臺北市：國立政治大學財務管理學系
    Abstract: 本研究的目的在探討外幣條件波動度對於訊息衝擊的不對稱反應現象。此 一不對稱現象同時會因過去衝擊的正負與規模大小而有所不同。使用Fornari 與Mele(1997)所發展出的Sign- and Volatility-Switching ARCH 模型與Engle 與 Ng(1993)所發展的NIC 模型，我們發現到波動度對於訊息衝擊存在不對稱反應 的」反轉」(reversion)現象。使用外幣選擇權的隱含波動度，我們發現此模型要較 傳統的不對稱ARCH model 有較好的績效。
    Description: 核定金額：501600元
    Data Type: report
    Appears in Collections:[財務管理學系] 國科會研究計畫

    Files in This Item:

    File SizeFormat
    932416H004029.pdf331KbAdobe PDF21314View/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 Copyright Announcement
    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。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    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。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback