کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
958819 | 929079 | 2011 | 18 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Stock market momentum, business conditions, and GARCH option pricing models
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Stock market momentum, business conditions, and GARCH option pricing models Stock market momentum, business conditions, and GARCH option pricing models](/preview/png/958819.png)
چکیده انگلیسی
This paper examines the forecasting performance of GARCH option pricing models from a market momentum perspective, and the possible impacts of financial crises and business conditions are also examined. The empirical results demonstrate that market momentum impacts the forecasting performance of GARCH option pricing models. The EGARCH model performs better under downward market momentum, while the standard GARCH performs better under upward market momentum. In addition, parsimonious models generally outperform richly parameterized ones. The above findings are robust to financial crises, and the results further demonstrate that business conditions influence the forecasting performance of GARCH option pricing models.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Empirical Finance - Volume 18, Issue 3, June 2011, Pages 488–505
Journal: Journal of Empirical Finance - Volume 18, Issue 3, June 2011, Pages 488–505
نویسندگان
Min-Hsien Chiang, Hsin-Yi Huang,