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摘要
外文摘要
引文資料
題名:
原油現貨、期貨與相關產業指數之波動性探討--厚尾跳躍模型之應用
書刊名:
商管科技季刊
作者:
鄭婉秀
/
鄭美愛
/
鄒易凭
/
紀慧君
作者(外文):
Cheng, Wan-hsiu
/
Cheng, Mei-ai
/
Tzou, Yi-pin
/
Chi, Hui-chun
出版日期:
2008
卷期:
9:1
頁次:
頁31-50
主題關鍵詞:
原油
;
厚尾分配
;
跳躍
;
波動
;
Crude oil
;
Heavy tail distribution
;
Jump
;
Volatility
原始連結:
連回原系統網址
相關次數:
被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
排除自我引用:0
共同引用:0
點閱:26
本文以美國西德州中級原油現貨、期貨與原油相關產業指數為標的,運用厚尾分配之跳躍模型,探討現貨、期貨及產業指數之波動性。實證結果發現,以厚尾分配進行估計是恰當的,尤其針對厚尾情形較顯著之期貨及相關產業股價指數報酬率而言,單以常態跳躍模型估計並不足以描述其波動行為。再者,原油現貨、原油期貨及產業指數報酬率之跳躍多為反映負面消息之衝擊,但其受到異常消息之衝擊隨時間而遞滅。最後,在重大事件的影響方面, 911 事件對三個市場的衝擊大於美伊戰爭之衝擊,其分別對產業指數及原油現貨之衝擊最為直接且強烈。
以文找文
This paper investigates the volatility for the West Texas Intermediate (WTI) crude oil spot, futures and the relative industry indexes using jump model with heavy tail distribution. The empirical results show that the assumption of heavy tail distribution is necessary in volatility estimation, especially for the futures and industry indexes with significant features of heavy tail. The original jump model with normal distribution cannot capture the behavior of volatility for futures and industry indexes. Moreover, the jumps in these three assets reflect the bad news shocks and the shocks decreases along with time. Finally, in the periods of greater events, the shock of 911 event is stronger than the Iraq war, and the strongest shock occurred in industry indexes and crude oil spot, respectively.
以文找文
期刊論文
1.
Silvapulle, P.,、Moosa, I. A.(1999)。The relationship between spot and futures prices: Evidence from the crude oil market。The Journal of Futures Markets,19(2),175-193。
2.
Papapetrou, Evangelia(2001)。Oil price shocks, stock market, economic activity and employment in Greece。Energy Economics,23(5),511-532。
3.
Fortune, P.(1999)。Are stock returns different over weekends?A jump diffusion analysis of the weekend effect。New England Economic Review,September/October,3-19。
4.
Ahn, D. H.、Dittmar, R.、Gallant, A. R.(2002)。Quadratic Term Structure Models: Theory and Evidence。The Review of Financial Studies,15,243-288。
5.
Johannes, M.(2003)。The Statistical and Economic Role of Jumps in Continuous-Time Interest Rate Models。Journal of Finance,59,227-260。
6.
Chan, W. H.、Maheu, J. M.(2002)。Conditional Jump Dynamics in Stock Market Returns。Journal of Business and Economic Statistics,20(3),377-389。
7.
Jorion, P.(1998)。On Jump Processes in the Foreign Exchange and Stock Markets。The Review of Financial Studies,1(4),427-445。
8.
Nimalendran, M.(1994)。Estimating the Effects of Information Surprises and Trading on Stock Returns Using a Mixed Jump-Diffusion Model。Review of Financial Studies,7,451-473。
9.
Sadorsky, Perry(1999)。Oil Price Shocks and Stock Market Activity。Energy Economics,21(5)。
10.
Bai, Jushan、Perron, Pierre(2003)。Computation and Analysis of Multiple Structural Change Models。Journal of Applied Econometrics,18(1),1-22。
11.
Bollerslev, Tim、Chou, Ray Y.、Kroner, Kenneth F.(1992)。ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence。Journal of Econometrics,52(1/2),5-59。
12.
Politis, Dimitris N.(2004)。A Heavy-Tailed Distribution for ARCH Residuals with Application to Volatility Prediction。Annals of Economics and Finance,5(2),283-298。
13.
Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。
14.
Bates, D. S.(1991)。The Crash of '87: Was it Expected?The Evidence From the Option Markets。Journal of Finance,46,1009-1044。
15.
Brown, P. A.,、Yucel, M. K.(2002)。Energy price and aggregate economic activity: an interpretative survey。The Quarterly Review of Economics and Finance,42,193-208。
16.
Cunado, J.,、Gracia, F. P. de.(2003)。Do oil price shocks matter? Evidence for some European countries。Energy Economics,25,137-154。
17.
Guo, H.,、Kliesen, K.(2005)。Oil price volatility and U. S. macroeconomic activity。Federal Reserve Bank of St. Louis Review,87(6),669-683。
18.
Hammoudeh, S.、Aleisa, E.(2004)。Dynamic relationships among GCC stock markets and NYMEX oil futures。Contemporary Economic Policy,22(2),250-269。
19.
Hammoudeh, S.,、Li, H.(2005)。Oil sensitivity and systematic risk in oil-sensitive stock indices。Journal of Economics and Business,57,1-21。
20.
Hammoudeh, S., Dibooglu, S.,、Aleisa , E.(2004)。Relationships among U.S. oil prices and oil industry equity indices。International Review of Economics and Finance,13,427-453。
21.
Maghyereh, A.(2004)。Oil price shocks and emerging stock markets:A generalized VAR approach。International Journal of Applied Econometrics and Quantitative Studies,1(2)。
22.
Manning, N.(1991)。The UK oil industry: some inferences from the efficient market hypothesis。Scottish Journal of Political Economy,38,324-334。
23.
Mork, K. A., Olsen, O.,、Mysen, H. T.(1994)。Macroeconomic responses to oil price increases and decreases in seven OECD countries。Energy Journal,15,19-35。
24.
Sadorsky, P.(2000)。The empirical relationship between energy futures prices and exchange rates。Energy Economics,22,253-266。
25.
Sakellaris, P.(1997)。Irreversible capital and the stock market response to shocks in profitability。International Economic Review,38(2),351-380。
研究報告
1.
Das, S. R.(1998)。Poisson-Gaussian Processes and the Bond Market。National Bureau of Economic Research。
圖書論文
1.
Shephard, Neil(1996)。Statistical aspects of ARCH and stochastic volatility。Time Series Models in Econometrics, Finance and Other Fields。London:Chapman and Hall。
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