ARJI偏態 t 分配模型的應用-以美國道瓊工業指數為例

The Application of ARJI-Skewed t Model–The Case of Down Jones Industry Index

吳瑋峻(Wei-Chun Wu)

指導教授 ： 李命志

共同指導教授 ： 陳玉瓏(Yu-Lung Chen)

淡江大學/商學院/財務金融學系碩士在職專班/碩士(2007年)

https://doi.org/10.6846/TKU.2007.01117

摘要

本篇摘要未授權

關鍵字

Skewed t ； Jump ； ARJI

並列摘要

This abstract would not be displayed due to no authorization.

並列關鍵字

Skewed t ； Jump ； ARJI

參考文獻

李彥賢、姜淑美、邱建良(2006)，「亞洲金融風暴對台灣股匯市影響：跳躍-擴散模型應用」，朝陽商管評論，第 5 卷，第 1 期，1-22。

Ahn, D. H., R. Dittmar, and A. R. Gallant (2002), “ Quadratic Term Structure Models: Theory and Evidence”, Review of Financial Studies, Vol. 15, pp. 243-288.

Bekaert, G., Campbell R. Harvey, Claude B. Erb, and Tadas E. Viskanta (1998), “Distributional Characteristics of Emerging Market Returns and Asset Allocation”, Journal of PortfolioManagement, Winter, pp. 102-116.

Blattberg, R.C. and N.J. Gonedes (1974), “A Comparison of the Stable and Student Distribution as Statistical Models for Stock Prices”, Journal of Business, Vol. 47, pp. 244-280.

Bollerslev, T. (1987), “A Conditionally Heteroskedasticity Time Series Model for Speculative Prices and Rates of Return”, Review of Economics & Statistics, Vol. 69, pp. 542-547.