| dc.contributor | 財管系 | |
| dc.creator (作者) | Yen, Simon H.;Wang, Jai Jen | |
| dc.creator (作者) | 顏錫銘 | zh_TW |
| dc.date (日期) | 2007-08 | |
| dc.date.accessioned | 2-Oct-2015 16:50:07 (UTC+8) | - |
| dc.date.available | 2-Oct-2015 16:50:07 (UTC+8) | - |
| dc.date.issued (上傳時間) | 2-Oct-2015 16:50:07 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/78857 | - |
| dc.description.abstract (摘要) | This study develops a new futures pricing model and derives its analytic solution. Comparative static and simulation results are also presented. Under this general equilibrium framework, we find that bounded degrees of state variables in the broad economy determine co-varying extents among various important market variables. However, increasing event risk, including the sizes of occurrence probability and corresponding impulse effects, makes their analysis intractable. | |
| dc.format.extent | 503565 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | International Journal of Business and Economics, 6(2), 103-119 | |
| dc.subject (關鍵詞) | general equilibrium model;event risk;intertemporal futures pricing | |
| dc.title (題名) | General Equilibrium Stock Index Futures Pricing Allowing for Event Risk | |
| dc.type (資料類型) | article | en |
