The Relationship between Volatility of Volatility and Return: Evidence on Taiwan Index Futures
碩士 === 國立臺灣師範大學 === 管理研究所 === 104 === This study discusses the relationship between the volatility-of-volatility and the monthly return of Taiwan index futures. After considering market risk, skewness, kurtosis, and open-interest, the phenomenon that volatility-of-volatility affects the return of Ta...
Main Authors: | , |
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Other Authors: | |
Format: | Others |
Language: | zh-TW |
Published: |
2016
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Online Access: | http://ndltd.ncl.edu.tw/handle/94725569702220273876 |