Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/112112
題名: | Empirical analysis of stock indices under a regime-switching model with dependent jump size risks | 作者: | 林士貴 Hsu, Yuan-Lin Lin, Shih-Kuei Hung, Ming-Chin Huang, Tzu Hui |
貢獻者: | 金融系 | 關鍵詞: | Markov regime-switching model; Volatility clustering; Jump risks; Stock index | 日期: | Apr-2016 | 上傳時間: | 23-Aug-2017 | 摘要: | In this study, we propose a regime-switching model with dependent jump size risks to capture important characteristics of cyclical movements and abnormal shock events. We further demonstrate that the two-state model provides asymmetric and leptokurtic return features, and volatility clustering is observed empirically using 12 years of daily data for the S&P 500, Dow Jones Industrial Average (DJIA), and Nikkei 225 indices. In addition, our results indicate that the regime-switching model with dependent jump size risks is superior to the competing models. | 關聯: | Economic Modelling, 54, 260-275 | 資料類型: | article | DOI: | http://dx.doi.org/10.1016/j.econmod.2015.11.016 |
Appears in Collections: | 期刊論文 |
Show full item record
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.