Predictive Power of Option-Implied Densities from High-Frequency Data__臺灣人文及社會科學引文索引資料庫

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題名：	Predictive Power of Option-Implied Densities from High-Frequency Data
書刊名：	財務金融學刊
作者：	曾祺峰／Taylor, Stephen J.／Widdicks, Martin
作者(外文)：	Tzeng, Chi-feng
出版日期：	2016
卷期：	24:1
頁次：	頁1-24
主題關鍵詞：	風險中立密度預測；躍動動態；財務危機；Risk-neutral density prediction；RND prediction；Jump dynamics；Financial crisis
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:2 點閱:8

以Duffie、Pan 與Singleton (2000) 之SVCJ 模型從2005 至2009 年估計日頻與高頻 FTSE 100 指數選擇權契約。發現金融海嘯期間較金融危機前：(1) 變異躍動與價格躍動的關係更為反向；(2) 價格躍動平均數更負；(3) 價格躍動之變異數及變異躍動之平均數更大；(4) 躍動發生頻率更高。實證指出：(1) 高頻資料提供較優的預測力；(2) 預測期間等於選擇權到期期間時，預測力較佳。

以文找文

Duffie, Pan, and Singleton’s (2000) model is used to estimate implied densities using daily and high-frequency FTSE 100 index option contracts from 2005 to 2009. The empirical results suggest the following phenomena during the financial crisis: (1) more negative relationships between variance jumps and price jumps; (2) a larger magnitude of the negative mean of price jumps; (3) a larger variance of price jumps and a larger mean of variance jumps; and (4) a higher jump intensity. Further findings are as follows: (1) high-frequency data provide superior predictive power; and (2) RNDs exhibit satisfactory predictive power for option expiration dates.

以文找文

期刊論文
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研究報告
1.	Bahra, B.(1997)。Implied Risk-neutral Probability Density Functions from Option Prices: Theory and Application。London：Bank of England。
2.	Cont, Rama(1999)。Beyond implied volatility: Extracting information from options price。

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