作者：
Chia-Chien ChangChiu-Fen KaoTsung-Li ChiSheng-Jung LiDepartment of Finance
National Kaohsiung University of Applied Science415 Chien Kung RoadSanmin DistrictKaohsiung 80778Taiwan Department of FinanceNational Sun Yat-sen University No.70Lienhai Rd.Kaohsiung 80424Taiwan Department of Applied MathematicsI Shou University No.1Sec.1Syuecheng Rd.Dashu DistrictKaohsiung 84001Taiwan Department and Graduate School of Insurance and FinanceShu-Te University No.59Hengshan Rd.Yanchao Dist.Kaohsiung 82445Taiwan
This paper utilizes recent advances in econometric theory, developed by Anderson, Bollerslev, and Diebold (2007), Barndorff-Nielsen and Shephard (2004), and Tauchen and Zhou (2006), to effectively separate the continu...
详细信息
This paper utilizes recent advances in econometric theory, developed by Anderson, Bollerslev, and Diebold (2007), Barndorff-Nielsen and Shephard (2004), and Tauchen and Zhou (2006), to effectively separate the continuous and jump components of all *** this econometric technique, we investigate whether different types (equity,mortgage, and hybrid type) of *** markets has significant jump *** addition, we further decompose each of the volatility components into continuous systematic risk and jump systematic risk by extending CAPM and two-factor *** decomposing, we intend to discuss that is the jump beta risk higher than continuous beta risk? Is the jump beta risk and continuous beta risk asymmetric? And we intend to investigate that is jump risk almost systematic or idiosyncratic (nonsystematic)?
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