| dc.contributor | 國貿系 | |
| dc.creator (作者) | 林信助 | |
| dc.date (日期) | 2019-10 | |
| dc.date.accessioned | 12-May-2026 15:55:15 (UTC+8) | - |
| dc.date.available | 12-May-2026 15:55:15 (UTC+8) | - |
| dc.date.issued (上傳時間) | 12-May-2026 15:55:15 (UTC+8) | - |
| dc.identifier.uri (URI) | https://ah.lib.nccu.edu.tw/item?item_id=182500 | - |
| dc.description.abstract (摘要) | 作為恐慌指標的波動度指數在全球金融市場上日益普及，且越來越受到重視。了解國際主要股票市場波動度指數的跨市場極端共移性對於國際投資組合風險管理至關重要，因為這將影響波動度產品對國際投資組合所帶來的風險分散效果。大多數既存文獻僅針對成對的波動度指數，在向量自回歸（VAR）模型的框架下檢驗其間的線性關係。本研究將依循Gravelle和Li（2013）所提出的方法，針對國際主要波動度指數的極端共移性和相對系統重要性提供更全面性的研究。此外，基於極值理論，採用這種研究方法的實證結果將不受極端市場狀況觀測值很少的影響。本研究的結果將有助於更完整地理解全球主要股市波動度指數的極端跨市場共移性和相對系統的重要性。 | |
| dc.description.abstract (摘要) | Volatility indices, as the fear gauge, have gained increasing importance and growing popularity across different markets worldwide. Understanding cross-market extreme comovement of volatility indices of major national stock markets is essential for international portfolio risk management, as it will affect benefits of international portfolio diversification with volatility products. Most existing literature only facilitates examination of pairwise linear relation of volatility indices comovement in a vector autoregression (VAR) framework. By following the approach proposed by Gravelle and Li (2013), this research will offer a more comprehensive study the extreme comovement and relative systematic importance of major volatility indices. In addition, based on the extreme value theory, results of this approach are not affected by the small observations during extreme market conditions, which are widely believed to have affected the VAR estimation approach. Results of this research will contribute to a better understanding of extreme cross-market comovement and relative systematic importance of major stock market volatility indices around the globe. | |
| dc.format.extent | 116 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | 科技部, MOST107-2410-H004-066, 107.08-108.07 | |
| dc.subject (關鍵詞) | 波動度指數; 系統重要性; 極值理論 | |
| dc.subject (關鍵詞) | volatility index; systematic importance; extreme value theory | |
| dc.title (題名) | 國際重要波動度指數之極端共移性與其系統重要性 | |
| dc.title (題名) | Systematic Importance and Extreme Comovement of Major International Volatility Indices | |
| dc.type (資料類型) | report | |
