| dc.contributor | 金融系 | |
| dc.creator (作者) | 廖四郎 | zh_TW |
| dc.creator (作者) | Lian, Yu-Min;Liao, Szu-Lang | |
| dc.date (日期) | 2015 | |
| dc.date.accessioned | 21-Mar-2016 15:46:34 (UTC+8) | - |
| dc.date.available | 21-Mar-2016 15:46:34 (UTC+8) | - |
| dc.date.issued (上傳時間) | 21-Mar-2016 15:46:34 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/82755 | - |
| dc.description.abstract (摘要) | In this study, it is investigated the impact of suddenly structural breaks on estimated GARCH-type models with normal and heavy-tailed distributions for daily oil futures market returns. More specifically, the multiple structural breaks in return variance over the whole sample period are detected by the Inclán-Tiao’s algorithm. The estimated results of the ICSS AR-GARCH models show that the volatility persistence decreases dramatically after controlling for such discrete breakpoints. The changing oil futures risk can be best captured by the ICSS AR-EGARCH-GED model. Specifically, the comparison of the in-sample model evaluation champions the AR-EGARCH-t model over competing models within each identified sub-period. | |
| dc.format.extent | 160 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | Investment Management and Financial Innovations, Vol.12, No.2, 16-25 | |
| dc.title (題名) | The volatility structure of oil futures market returns: an empirical investigation | |
| dc.type (資料類型) | article | |
