資料頻率與波動類型對於短期投資人的經濟價值：由與波動相關之財務應用驗證

CCUR > College of Business > Department of Banking & Finance > project > Item 987654321/21936

Please use this identifier to cite or link to this item: https://irlib.pccu.edu.tw/handle/987654321/21936

Title:	資料頻率與波動類型對於短期投資人的經濟價值：由與波動相關之財務應用驗證
Authors:	洪瑞成王譯賢
Contributors:	財務金融學系
Keywords:	經濟價值波動擇時策略交易成本波動狀態
Date:	2011~2012
Issue Date:	2012-03-30 11:09:28 (UTC+8)
Abstract:	由於金融商品高頻交易資料的可取得性，近來有關波動估計的研究著重於如何運用日內報酬率估計波動率。波動估計和預測對許多財務議題是不可或缺的，如投資組合管理、風險管理與選擇權交易策略。本研究擬針對資料選取頻率與波動率種類於四種與波動率相關之財務應用中的經濟價值進行一廣泛研究。這些財務應用涵蓋「波動擇時策略」、「最適避險策略」、「以風險值為基礎的市場風險資本」與「波動交易策略」。 Recent studies on the volatility modeling have focused on estimating volatility based on intraday returns due to the widespread availability of high-frequency trading data of financial assets. Volatility estimation and forecasts are essential for many financial issues, such as portfolio management, risk management and option trading strategy. This study provides a comprehensive analysis of the economic values of data sampling frequency and volatility type in four volatility-related financial applications. These financial applications involve volatility timing strategy, optimal hedging strategy, Value-at-Risk-based market risk capital and volatility trading strategy.
Appears in Collections:	[Department of Banking & Finance ] project

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