Modeling and Predicting The CBOE Volatility Index - Application of Mixed Causal-Noncausal Model
碩士 === 國立政治大學 === 經濟學系 === 105 === This paper first focuses on Mixed causal-noncausal model constructed by Breidt et al.(1991) and then conducts empirical research on the CBOE Volatility Index. The assumptions, simulation, estimation and prediction methods of Mixed causal-noncausal model are introdu...
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| Format: | Others |
| Language: | zh-TW |
| Online Access: | http://ndltd.ncl.edu.tw/handle/83gzw7 |