ASIA unversity:Item 310904400/17599
English  |  正體中文  |  简体中文  |  全文笔数/总笔数 : 90452/105769 (86%)
造访人次 : 11946567      在线人数 : 391
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧:
  • 您可在西文检索词汇前后加上"双引号",以获取较精准的检索结果
  • 若欲以作者姓名搜寻,建议至进阶搜寻限定作者字段,可获得较完整数据
  • 进阶搜寻
    ASIA unversity > 管理學院 > 財務金融學系 > 期刊論文 >  Item 310904400/17599


    jsp.display-item.identifier=請使用永久網址來引用或連結此文件: http://asiair.asia.edu.tw/ir/handle/310904400/17599


    题名: Do liquidity and sampling methods matter in constructing volatility indices? Empirical evidence from Taiwan
    作者: 臧仕維;Tzang, Shyh-Weir
    贡献者: 財務金融學系
    关键词: VIX;VXO;Sampling method;Rollover rules;Implied volatility;Index options;Taiwan Stock Exchange Index (TAIEX) options
    日期: 2011-04
    上传时间: 2012-11-26 10:37:35 (UTC+8)
    摘要: This paper proposes four methods by which to sample option prices using proxies for liquidity—1-, 2-, 3-, 7-, and 8-day rollover rules—for option trades in order to construct volatility index series. Based on the sampling method using the average of all midpoints of bid and ask quote option prices, the volatility indices constructed by one-minute tick data have less missing data and are at least as efficient in volatility forecasting as the method suggested by the CBOE. In addition, based on different rollover rules, illiquidity in Taiwan's options market does not lead to substantial errors in the forecasting effectiveness of the volatility indices. Finally, the forecasting ability of VIX based on different sampling methods is found to be superior to that of VXO in Taiwan.
    關聯: International review of economics and finance
    显示于类别:[財務金融學系] 期刊論文

    文件中的档案:

    档案 描述 大小格式浏览次数
    index.html0KbHTML341检视/开启


    在ASIAIR中所有的数据项都受到原著作权保护.


    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回馈