Jump for the Economic Value of Volatility Timing Strategy-Evidence from Stock-based Portfolio of Taiwan
碩士 === 淡江大學 === 財務金融學系碩士班 === 100 === This paper considers the return rate and volatility are intervened by jumps and then compares the economic value under revised return rate and volatility to not revised ones. We know that the occurances of jumps are affected by sudden events; thus, jumps are u...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/83801308496665554239 |