| 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) | 2025-07 | |
| dc.date.accessioned | 24-Sep-2025 09:53:59 (UTC+8) | - |
| dc.date.available | 24-Sep-2025 09:53:59 (UTC+8) | - |
| dc.date.issued (上傳時間) | 24-Sep-2025 09:53:59 (UTC+8) | - |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/159642 | - |
| dc.description.abstract (摘要) | This study examines the predictability of Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) volatility by showing a time-varying trend. Specifically, the predictability is gradually declining. The empirical method involves accounting for the measurement errors in replacing true volatility with realized volatility and employing an alternative model. Furthermore, we propose three remedial solutions and examine their effects. The findings improve our understanding of the trends in TAIEX volatility predictability and shed light on how to enhance °predictability. | |
| dc.format.extent | 106 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | Review of Derivatives Research, Vol.28, No.2, article number 6 | |
| dc.subject (關鍵詞) | Realized volatility; Bipower volatility; Risk-neutral moments | |
| dc.title (題名) | Time-varying Predictability of TAIEX Volatility | |
| dc.type (資料類型) | article | |
| dc.identifier.doi (DOI) | 10.1007/s11147-025-09212-9 | |
| dc.doi.uri (DOI) | https://doi.org/10.1007/s11147-025-09212-9 | |
