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來源資料
頁籤選單縮合
題 名 | Predictive Power of Option-Implied Densities from High-Frequency Data=高頻資料下風險中立密度之預測力 |
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作 者 | 曾祺峰; | 書刊名 | 財務金融學刊 |
卷 期 | 24:1 2016.03[民105.03] |
頁 次 | 頁1-24 |
分類號 | 563.54 |
關鍵詞 | 風險中立密度預測; 躍動動態; 財務危機; Risk-neutral density prediction; RND prediction; Jump dynamics; Financial crisis; |
語 文 | 英文(English) |
中文摘要 | 以Duffie、Pan 與Singleton (2000) 之SVCJ 模型從2005 至2009 年估計日頻與高頻 FTSE 100 指數選擇權契約。發現金融海嘯期間較金融危機前:(1) 變異躍動與價格躍動的關係 更為反向;(2) 價格躍動平均數更負;(3) 價格躍動之變異數及變異躍動之平均數更大;(4) 躍 動發生頻率更高。實證指出:(1) 高頻資料提供較優的預測力;(2) 預測期間等於選擇權到期期 間時,預測力較佳。 |
英文摘要 | Duffie, Pan, and Singleton’s (2000) model is used to estimate implied densities using daily and high-frequency FTSE 100 index option contracts from 2005 to 2009. The empirical results suggest the following phenomena during the financial crisis: (1) more negative relationships between variance jumps and price jumps; (2) a larger magnitude of the negative mean of price jumps; (3) a larger variance of price jumps and a larger mean of variance jumps; and (4) a higher jump intensity. Further findings are as follows: (1) high-frequency data provide superior predictive power; and (2) RNDs exhibit satisfactory predictive power for option expiration dates. |
本系統中英文摘要資訊取自各篇刊載內容。