Model-implied Jump Variance and Expected Market Return
碩士 === 東吳大學 === 財務工程與精算數學系 === 106 === This study uses S&P 500 index returns from January 1996 to December 2016. The asset price process follows GARCH-Jump model and the jump component is pretended to be normal inverse Gaussian (NIG) distribution. We make use of the particle filter method to est...
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| Format: | Others |
| Language: | en_US |
| Published: |
2018
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| Online Access: | http://ndltd.ncl.edu.tw/handle/xdvxre |