Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/135115| DC Field | Value | Language |
|---|---|---|
| dc.contributor | 風管系 | - |
| dc.creator | 許永明 | - |
| dc.creator | Yung-Ming Shiu | - |
| dc.creator | Ging-Ginq Pan | - |
| dc.creator | Tu-Cheng Wu | - |
| dc.date | 2022-01 | - |
| dc.date.accessioned | 2021-05-25T03:50:50Z | - |
| dc.date.available | 2021-05-25T03:50:50Z | - |
| dc.date.issued | 2021-05-25T03:50:50Z | - |
| dc.identifier.uri | http://nccur.lib.nccu.edu.tw/handle/140.119/135115 | - |
| dc.description.abstract | We examine the relation between jump variations and risk-neutral moments in volatility forecasting. We propose a method that involves no extrapolation in computing the risk-neutral moments of Bakshi et al. (2003) and document that risk-neutral skewness and kurtosis subsume the information content of historical jumps. While historical jumps have significant explanatory power for future volatility and such power is actually not weakened by the inclusion of risk-neutral volatility in models, their predictability does disappear when risk-neutral skewness and kurtosis are included. | - |
| dc.format.extent | 559358 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation | Journal of Financial Markets, Vol.57, pp.1-15 | - |
| dc.subject | Volatility forecasting ; Risk-neutral moments ; Jumps | - |
| dc.title | Can risk-neutral skewness and kurtosis subsume the information content of historical jumps? | - |
| dc.type | article | - |
| dc.identifier.doi | 10.1016/j.finmar.2020.100614 | - |
| dc.doi.uri | https://doi.org/10.1016/j.finmar.2020.100614 | - |
| item.cerifentitytype | Publications | - |
| item.fulltext | With Fulltext | - |
| item.openairetype | article | - |
| item.openairecristype | http://purl.org/coar/resource_type/c_18cf | - |
| item.grantfulltext | restricted | - |
| Appears in Collections: | 期刊論文 | |
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