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pro vyhledávání: '"Ying-I Lee"'
Autor:
Ying-I Lee, 李盈儀
96
This study is to investigate the effects of open interest and trading volume on futures price and volatility by an EGARCH-ARJI model as position limits are taken as a moderating variable. The data of the daily prices, open interest and tradin
This study is to investigate the effects of open interest and trading volume on futures price and volatility by an EGARCH-ARJI model as position limits are taken as a moderating variable. The data of the daily prices, open interest and tradin
Externí odkaz:
http://ndltd.ncl.edu.tw/handle/14089682650441767303
Publikováno v:
Probability in the Engineering and Informational Sciences. :1-26
This paper extends the standard double-exponential jump-diffusion (DEJD) model to allow for successive jumps to bring about different effects on the asset price process. The double-exponentially distributed jump sizes are no longer assumed to have th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::05778e77590073f3cfe725612a327663
https://doi.org/10.1017/s0269964822000493
https://doi.org/10.1017/s0269964822000493
Publikováno v:
Probability in the Engineering & Informational Sciences; Jan2024, Vol. 38 Issue 1, p39-64, 26p