The Nonlinear Information Content between the Nikkei Index Futures and Its Option’s Volatility: the Threshold Co-integration Analysis
碩士 === 銘傳大學 === 財務金融學系碩士在職專班 === 93 === Abstract It is often found that some fear-index seems to be linearly co-moved with stock price index. For instance, the holdings of call-option relative to put-option (CPR) positively move with the stock price index. With comparable striking price, the call-o...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/243uhp |