| dc.contributor | 風管系 | |
| dc.creator (作者) | 許永明 | |
| dc.creator (作者) | Shiu, Yung-Ming;Pan, Ging-Ginq;Wu, Tu-Cheng | |
| dc.date (日期) | 2024-04 | |
| dc.date.accessioned | 24-May-2024 11:00:23 (UTC+8) | - |
| dc.date.available | 24-May-2024 11:00:23 (UTC+8) | - |
| dc.date.issued (上傳時間) | 24-May-2024 11:00:23 (UTC+8) | - |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/151233 | - |
| dc.description.abstract (摘要) | Prior studies have employed extrapolation to reduce truncation errors when computing risk-neutral moments. However, extrapolation may have a disadvantage in that it obscures the predictive power of risk-neutral skewness and kurtosis. Our out-of-sample results show that extrapolation does not enhance the predictive power of the volatility forecasting models when risk-neutral volatility, skewness, and kurtosis are included. Under this model specification, extrapolation generates less accurate forecasts and obscures the performance of risk-neutral kurtosis in volatility forecasting. | |
| dc.format.extent | 108 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | Pacific-Basin Finance Journal, Vol.84, 102286 | |
| dc.subject (關鍵詞) | Extrapolation; Risk-neutral skewness; Risk-neutral kurtosis; Volatility forecasting | |
| dc.title (題名) | Extrapolation and option-implied kurtosis in volatility forecasting | |
| dc.type (資料類型) | article | |
| dc.identifier.doi (DOI) | 10.1016/j.pacfin.2024.102286 | |
| dc.doi.uri (DOI) | https://doi.org/10.1016/j.pacfin.2024.102286 | |
