Jump Innovation impact to the returns of stock
碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 92 === This paper adopts the GARJI model, which contains both consecutive and inconsecutive news, to estimate the 14 different firms and 4 indices. The GARJI model has extended the GARCH model of a constant jump intensity, also encompass a time-varying jum...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/03351201970460886289 |