English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 100435/131260 (77%)
Visitors : 37361317      Online Users : 16
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
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/78215
    Please use this identifier to cite or link to this item: http://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
    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:[金融學系] 期刊論文

    Files in This Item:

    File Description SizeFormat
    7-19.pdf285KbAdobe PDF650View/Open

    All items in 政大典藏 are protected by copyright, with all rights reserved.

    社群 sharing

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback