Extreme value analysis of Hong Kong's stock market.
Kam Ying Chuen. === Thesis (M.Phil.)--Chinese University of Hong Kong, 2000. === Includes bibliographical references (leaves 81-83). === Abstracts in English and Chinese. === Chapter 1 --- Introduction --- p.1 === Chapter 2 --- Overview of Hong Kong Stock Market --- p.3 === Chapter 2.1 --- Stock E...
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| Format: | Others |
| Language: | English Chinese |
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2000
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| Online Access: | http://library.cuhk.edu.hk/record=b5890390 http://repository.lib.cuhk.edu.hk/en/item/cuhk-323124 |
| Summary: | Kam Ying Chuen. === Thesis (M.Phil.)--Chinese University of Hong Kong, 2000. === Includes bibliographical references (leaves 81-83). === Abstracts in English and Chinese. === Chapter 1 --- Introduction --- p.1 === Chapter 2 --- Overview of Hong Kong Stock Market --- p.3 === Chapter 2.1 --- Stock Exchange of Hong Kong --- p.3 === Chapter 2.2 --- Hang Seng Index --- p.4 === Chapter 2.3 --- Influences of the United States --- p.5 === Chapter 2.4 --- Hong Kong Government's Intervention --- p.6 === Chapter 3 --- Literature Review --- p.8 === Chapter 3.1 --- Stable and Student t Distributions --- p.8 === Chapter 3.2 --- Generalized Distribution --- p.10 === Chapter 3.3 --- Socio-economic Model --- p.11 === Chapter 3.4 --- Extreme Value Analysis --- p.11 === Chapter 4 --- Methodology --- p.14 === Chapter 4.1 --- Homogeneous Model --- p.15 === Chapter 4.2 --- Inhomogeneous Model --- p.15 === Chapter 4.3 --- Model Validity --- p.16 === Chapter 4.3.1 --- Exceedance Rate --- p.17 === Chapter 4.3.2 --- Distribution of Excesses --- p.17 === Chapter 4.3.3 --- Independence --- p.18 === Chapter 5 --- Data --- p.19 === Chapter 5.1 --- Minute-by-minute Returns --- p.20 === Chapter 5.2 --- Daily returns --- p.21 === Chapter 5.3 --- Explanatory Variables for the Inhomogeneous Model --- p.21 === Chapter 6 --- Empirical Results: Minute-by-minute Returns --- p.24 === Chapter 6.1 --- Shape Parameter k --- p.24 === Chapter 6.2 --- Location Parameter μ --- p.25 === Chapter 6.3 --- Scale Parameter σ --- p.26 === Chapter 6.4 --- Conditional Scale Parameter ψ --- p.27 === Chapter 6.5 --- Specification Test --- p.29 === Chapter 7 --- Empirical Results: Daily Returns --- p.29 === Chapter 7.1 --- Homogeneous Model --- p.30 === Chapter 7.2 --- Inhomogeneous Model --- p.31 === Chapter 7.2.1 --- Constant Term --- p.32 === Chapter 7.2.2 --- Dow Jones Industrial Average Returns --- p.33 === Chapter 7.2.3 --- Volatility Indicators --- p.34 === Chapter 7.2.4 --- Monday Dummy --- p.35 === Chapter 7.2.5 --- Time Trend --- p.36 === Chapter 7.2.6 --- Duration Dummy --- p.37 === Chapter 7.2.7 --- Indicator for the Behavior of the Previous Trading Day --- p.38 === Chapter 8 --- Conclusion --- p.39 |
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