淡江大學機構典藏:Item 987654321/72576
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    題名: The Relationship between the S&P 500 Spot and Futures Indices: Brothers or Cousins?
    作者: Chiu, Chien-liang;Chiang, Shu-mei;Kao, Feng
    貢獻者: 淡江大學財務金融學系
    日期: 2006-03
    上傳時間: 2011-10-24 10:34:15 (UTC+8)
    出版者: Abingdon, Oxon: Routledge
    摘要: This paper applies the GARJI model to investigate the impact of news on the S&P 500 spot and index futures. We show their reactions are dissimilar to good or bad news. Hence, though they are like brothers, they are cousins. Besides, the persistence and sensitivity parameters for the arrival of jump events are quite high and significant. It means a high probability of many jumps today seems to be followed by a high probability of many jumps tomorrow. We suggest it is necessary to consider the time series dynamics in the jump size distribution when studying the impact of news on financial markets.
    關聯: Applied Financial Economics 16(5), pp.405-412
    DOI: 10.1080/09603100500400239
    顯示於類別:[財務金融學系暨研究所] 期刊論文

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