Price Impacts from Unexpected Changes of Volumes and Open Interests: Empirical Studies of TAIFEX Index Options
碩士 === 國立高雄第一科技大學 === 財務管理研究所 === 100 === Abstract The thesis uses the EGARCH model to capture the characteristics of volatility asymmetry in TAIFEX index options, and adopt GJR-GARCH as the robustness model. We divided trading volume and open interest into expected and unexpected sections to examin...
| Main Authors: | , |
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| Format: | Others |
| Language: | en_US |
| Published: |
2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/70325396922044561393 |