Do commodity assets hedge uncertainties? What we learn from the recent turbulence period? [PDF]
Ann Oper Res, 2022 Hasan MB +4 more
europepmc +1 more source
When the market got the first dose: Stock volatility and vaccination campaign in COVID-19 period. [PDF]
Heliyon, 2023 To BCN, Nguyen BKQ, Nguyen TVT.
europepmc +1 more source
Applying Copula-GJR-GARCH model in the hedging of gold futures and silver futures
, 2011 碩士金融資產報酬通常為厚尾且非常態為主，而過去多數文獻的模型以常態分配為假設，而Copula函數能夠依據個別資料之間的關聯性找出最適之分配，使得模型的運用上更加有彈性。 本文主要分別利用傳統避險模型、固定條件相關(CCC-GJR-GARCH)模型、動態條件相關(DCC-GJR-GARCH)模型以及以Copula-based GJR-GARCH模型，利用最小變異避險理論為避險績效衡量標準，依據樣本內及樣本外進行避險比率及避險績效的實證，找出最佳的模型，提供最適的避險比率之衡量與績效評估之比較 ...
李莠苓; Lee, You-Ling
core +1 more source
The GJR-GARCH and EGARCH option pricing models which incorporate the Piterbarg methodology [PDF]
Advances in Economics, Business and Management Research, 2017 Sven T. von Boetticher +1 more
openaire +1 more source
The Complexity of GARCH Option Pricing Models
, 2010 建立樹狀模型評價選擇權時，我們通常以增加一日的切割數，n，來增進評價的正確性，但增加 n 的同時也降低了評價的效率性。在LGARCH下，樹狀模型隨著 n 增加會導致樹上之總點數呈指數型成長。Lyuu and Wu (2005)發現，在LGARCH下，樹狀模型上之總點數呈指數型成長與否和 n 有關。但並非所有的GARCH模型皆同。我們發現，LGARCH、NGARCH、GJR-GARCH、TS-GARCH和TGARCH有類似之性質，而在Heston-Nandi和VGARCH下 ...
Chen, Ying-Chieh, 陳盈潔
core
COVID-19 and stock returns: Evidence from the Markov switching dependence approach. [PDF]
Res Int Bus Finance, 2023 Bouteska A, Sharif T, Abedin MZ.
europepmc +1 more source
Is Tether a safe haven of safe haven amid COVID-19? An assessment against Bitcoin and oil using improved measures of risk. [PDF]
Resour Policy, 2022 Syuhada K +4 more
europepmc +1 more source
The Hedging Performance for BRICS Futures - Applying the Dynamic Copula-GJR-GARCH Model
, 2014 本文主要採用動態的Copula GARCH模型估計現貨與期貨報酬的最小變異避險比率，並和傳統避險模型、固定條件相關條數之CCC-GJR-GARCH模型以及動態條件相關條數之DCC-G取-GARCH模型進行各個模型的避險績效之比較，找出最適的避險比率和最佳的模型。實證應用以金磚五國的現貨與期貨為研究資料，包括巴西IBOVESPA指數、俄羅斯RTS指數、印度S&P CNX NIFTY指數、中國CSI300指數以及南非FTSE/JSE Shareholder Weighted Top40指數。實證結果發現 ...
李沃牆; 柯星妤
core
A risk measurement study evaluating the impact of COVID-19 on China's financial market using the QR-SGED-EGARCH model. [PDF]
Ann Oper Res, 2023 Song M, Sui Z, Zhao X.
europepmc +1 more source
Stock market volatility from the Covid-19 pandemic: New evidence from the Asia-Pacific region. [PDF]
Heliyon, 2022 Vo DH, Ho CM, Dang TH.
europepmc +1 more source