政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/53821
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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/53821


    Title: 期貨價格的跳躍溢出與Bayesian MCMC方法的應用
    Other Titles: Jump Spillover in Futures Prices--- The Bayesian MCMC Approach
    Authors: 杜化宇
    Contributors: 國立政治大學財務管理學系
    行政院國家科學委員會
    Keywords: 貝斯因子;跳躍擴散模型;MCMC;溢出效果;隨機波動
    Bayesian factor;jump-diffusion model;MCMC;spillover;stochastic volatility
    Date: 2010
    Issue Date: 2012-10-22 11:10:58 (UTC+8)
    Abstract: 在本研究中，我們使用跳躍擴散（jump-diffusion）模型來探討三類的期貨價格（能源、金屬及外幣）的跳躍溢出效果。首先，我們使用貝斯因子（Bayes factor）的方法來選擇最符合數據資料的跳躍擴散模型。其次，我們使用貝斯MCMC方法來估計跳躍擴散模型的參數。除了瞭解期貨價格的同步跳躍外，我們也探討期貨價格跳躍的溢出效果。假若期貨價格的跳躍溢出效果存在，這意含Jarrow and Rosenfeld(1984)提出的jump diversifiability hypothesis是不成立的。
    In this study, we investigate jump spillover effects in futures prices. In order to identify the latent historical jumps of each futures price, we use a Bayesian MCMC approach to estimate a jump-diffusion model on each futures contract. We examine the simultaneous jump intensities of pairs of futures and the probabilities that jumps in one futures cause jumps or usually large returns in other ones. We attempt to examine three groups of futures contracts: energy, metals and currencies. The presence of jump spillovers may provide a new evidence against the validity of “jump diversifiability hypothesis” proposed by Jarrow and Rosenfeld (1984).
    Relation: 應用研究
    學術補助
    研究期間:9908~ 10007
    研究經費:509仟元
    Data Type: report
    Appears in Collections:[Department of Finance] NSC Projects

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