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期权凹隐含摆荡比值限期构造的nelson-siegel模具和

  期货与金融衍生品

  FUTURES AND FINANCIAL DERIVATIVES

  期权凹隐含摆荡比值限期构造的

  Nelson-Siegel模具和摆荡比值结合片断

  The?Nelson-Siegel?Model?Of?The?Term?Structure?

  Of?Option?Implied?Volatility?And?Volatility?Components

  1 2 3

  郭? 彪? 韩? 乾*? 赵? 彬

  1 2 3

  (中国人民父亲学财政金融学院;厦门父亲学王亚南经济切磋院; 上海提交畅通父亲学初级金融学院)

  摘要:

  本文将 Nelson-Siegel 模具扩展届期权凹隐含摆荡比值的限期构造并切磋了摆荡比值结合片断的时间前言列。

  此雕刻叁个结合片断,区别对应于摆荡性限期构造的程度、歪比值和曲比值,却以说皓为临时、中期和短期摆荡比值。

  临时结合片断是持续的且受微不清雅经济变量驱触动,中期和短期结合片断则区别受市场失条约风险和金融市场

  环境驱触动。叁因儿子 Nelson-Siegel 模具却以很好地预测摆荡比值限期构造,同时在范本外面预测方面也优于日

  用确实定性凹隐含摆荡比值函数和受限的副因儿子模具,此雕刻给摆荡比值结合片断模具供了顶顶。

  Abstract: We develop the Nelson-Siegel model in the context of option-implied volatility term structure and

  study the time series of volatility components. Three components, corresponding to the level, slope, and curvature

  of the volatility term structure, can be interpreted as the long-, medium-, and short-term volatilities. The long-

  term component is persistent and driven by macroeconomic variables, the medium-term by market default

  risk, and the short-term by financial market conditions. The three-factor Nelson-Siegel model has superior

  performance in forecasting the volatility term structure, with better out-of-sample forecasts than the popular

  deterministic implied volatility function and a restricted two-factor model, providing support to the literature of

  component volatility models.

  壹、小伸 却多因儿子模具的要紧性壹样。

  Black-Scholes模具等传统的期权官价 期权凹隐含摆荡比值限期构造的实证研

  模具和单因儿子遂机摆荡模具邑无法描写 究(Byoun,Kwok和Park,2003;Diz和

  凹隐含摆荡比值的动态特点(Christoffersen, Finucane,1993;Heynen,

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