JER, 第 1 卷Hanyang Economic Research Institute in collaboration with Hanyang University College of Business and Economics, 1996 |
搜尋書籍內容
第 1 到 3 筆結果,共 12 筆
第 352 頁
... jump in stock price of size exp { v } , j = 1,2 ,, qt . The jumps are assumed to be independently lognormally ... jump model ( see , for example , Ball and Torous ( 1985 ) ) . If the Poisson jump event κα - qt j = 0 term , o vjt , is ...
... jump in stock price of size exp { v } , j = 1,2 ,, qt . The jumps are assumed to be independently lognormally ... jump model ( see , for example , Ball and Torous ( 1985 ) ) . If the Poisson jump event κα - qt j = 0 term , o vjt , is ...
第 358 頁
... jump terms ( μ's ) are all significant and positive for stock index returns . To the contrary , variances of jump terms are all insignificant , hence the distribution of jump term vjt is degenerate . Converse holds true for CD rates ...
... jump terms ( μ's ) are all significant and positive for stock index returns . To the contrary , variances of jump terms are all insignificant , hence the distribution of jump term vjt is degenerate . Converse holds true for CD rates ...
第 363 頁
... jump component , v2 , is large . Evidence of jumps ( not shown here ) are , however , weaker for KOSPI returns for the same period . The comparison of Figures 3-6 suggests that some of the observed jumps may be common among portfolios ...
... jump component , v2 , is large . Evidence of jumps ( not shown here ) are , however , weaker for KOSPI returns for the same period . The comparison of Figures 3-6 suggests that some of the observed jumps may be common among portfolios ...