Optimal Forecasting Models and Trading Strategies of the Futures-Time Series Models with Standard Lévy Process
碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 99 === We address forecasting and trading strategy by (1) considering a ARMA-GARCH model with standard Lévy process innovations: the Jump Diffusion (JD), Generalized Hyperbolic (GH), Hyperbolic, Normal Inverse Gaussian (NIG), Variance Gamma (VG), GH Skewed T, Studen...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/41810551773533359047 |