| dc.contributor | 國貿系 | en_US |
| dc.creator (作者) | 謝淑貞 | zh_TW |
| dc.creator (作者) | CHIU,TIEN-YU;SHIEH,SHWU-JANE | en_US |
| dc.date (日期) | 2009 | en_US |
| dc.date.accessioned | 25-Nov-2014 11:42:27 (UTC+8) | - |
| dc.date.available | 25-Nov-2014 11:42:27 (UTC+8) | - |
| dc.date.issued (上傳時間) | 25-Nov-2014 11:42:27 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/71658 | - |
| dc.description.abstract (摘要) | This paper investigates the volatility process of the Brent crude oil futures markets using Markov-switching ARCH (SWARCH) model. The SWARCH model allows the conditional disturbances to change as time passes and even to switch in different regimes. The empirical evidence shows that the SWARCH (3,3) model performs the best goodness of fit and the best forecast performance among different fitting models. The estimation of smoothing probabilities of data under different regimes facilitates to capture the characteristics of the data, and the high-volatility regime is associated with some extraordinary events, such as the 1990`s Persian Gulf War, the 1997`s Asia Financial Crisis, and the 2001`s 911 terrorist attack. | en_US |
| dc.format.extent | 298595 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | International Journal of Theoretical and Applied Finance,12(2,)113-124 | en_US |
| dc.subject (關鍵詞) | Markov-switching ARCH; SWARCH; volatility; Brent crude oil | en_US |
| dc.title (題名) | REGIME-SWITCHED VOLATILITY OF BRENT CRUDE OIL FUTURES WITH MARKOV-SWITCHING ARCH MODEL | en_US |
| dc.type (資料類型) | article | en |
