求助英文文献一篇 万分感谢

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

Pricing SPX and DIX by HAR models
Yow-Jen Jou , Chih-Wei Wang , Wan-Chien Chiu

Abstract:
Previous studies have documented that, with use of high-frequency data, the Heteroskedasticity AR (HAR-RV) model performs better than other models in fitting financial return volatility measurement and has a more accurate forecasting ability. However, to our knowledge, no previous studies have investigated whether HAR-RV model can improve option pricing performance in financial markets. This study compares HAR-RV model and EGARCH model in terms of option pricing performance. As expected, the results of this study demonstrate that HAR-RV model is more accurate than EGARCH model in terms of S&P500 Index options (SPX) and Dow Jones Index options (DIX).

Keywords:
high-frequency data, HAR-RV model, EGARCH model, option pricing performance, SPX, DIX, moneyness effects, Heteroskedasticity AR, financial returns, volatility measurement, forecasting

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏0 回帖

关键词：求助英文文献 英文文献一篇 英文文献 万分感谢 performance 求助 文献 英文 感谢

Sorry， 试了，但是找不到。

去零点花园看看吧


http://www.soudoc.com/bbs/?from^^uid=227315

知道了 谢谢。。。

没关系。。。仍旧谢谢。。。