| dc.contributor | 金融系 | |
| dc.creator (作者) | 楊曉文 | |
| dc.creator (作者) | Yang, Sharon S. | |
| dc.date (日期) | 2016-06 | |
| dc.date.accessioned | 21-Jul-2020 15:27:34 (UTC+8) | - |
| dc.date.available | 21-Jul-2020 15:27:34 (UTC+8) | - |
| dc.date.issued (上傳時間) | 21-Jul-2020 15:27:34 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/130741 | - |
| dc.description.abstract (摘要) | 本文著重於溫度風險及探討何種分配最能捕捉臺灣溫度之動態行為。我們採用Campbell與Diebold (2005)模型捕捉臺灣溫度之特性及探討在不同機率分配之影響。我們發現標準Gumbel分配在樣本內外皆提供良好的配適與預測能力。此外，我們延伸Cao與Wei (2004)之評價方法並求得HDD與CDD之價格。最後，我們發現在不同機率分配假設下其對溫度衍生性商品影響十分顯著。 | |
| dc.description.abstract (摘要) | This research focuses on the temperature risk and attempts to investigate which distribution is most appropriate for capturing the Taiwan`s temperature dynamics. We adopt the Campbell and Diebold (2005) model to describe the temperature characteristics and examine a variety of distributions. We find that the standard Gumbel distribution provides the best fit for both in-sample and out-of-sample performance. Further, we extend Cao and Wei`s (2004) approach to obtain the valuation framework for HDD and CDD contracts. Finally, we observe that the effects of different distributions on the value of the temperature derivatives are very significant. | |
| dc.format.extent | 848527 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | 財務金融學刊, 24卷2期, 25 - 53 | |
| dc.subject (關鍵詞) | 溫度衍生性商品 ; 均衡定價模型 ; 日高溫度指數 ; 日低溫度指數 | |
| dc.subject (關鍵詞) | Temperature derivatives ; equilibrium pricing model ; HDD ; CDD | |
| dc.title (題名) | The Valuation of Temperature Derivatives: The Case for Taiwan | |
| dc.title (題名) | 評價溫度衍生商品－以臺灣為例 | |
| dc.type (資料類型) | article | |
| dc.identifier.doi (DOI) | 10.6545/JFS.2016.24(2).2 | |
| dc.doi.uri (DOI) | https://doi.org/10.6545/JFS.2016.24(2).2 | |
