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    National Tsing Hua University Institutional Repository > 科技管理學院  > 計量財務金融學系 > 期刊論文 >  Demarcating Stable and Turbulent Regimes in Taiwan's Stock Market

    Please use this identifier to cite or link to this item: http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/62061

    Title: Demarcating Stable and Turbulent Regimes in Taiwan's Stock Market
    Authors: Yu-Lieh Huang;Chia-Wen Ho
    教師: 黃裕烈
    Date: 2008
    Publisher: AccessEcon
    Relation: Economics Bulletin,AccessEcon, 3, 1-11,2008
    Keywords: Demarcating
    Turbulent Regimes
    Abstract: Various trading rules involving derivatives have been widely applied by practitioners under a wide range of market conditions to date, however, few econometric models can provide a way to accurately decide when to apply those strategies. In this paper, we employ the Innovation Regime-Switching (IRS) model (Kuan, et al, 2005, JBES) to separate stock price sample periods into stable and turbulent regimes on the basis of their dynamic behaviors. Our results show that, based on regime identification, we can obtain satisfactory profits by implementing appropriate and timely derivative strategies.
    URI: http://www.accessecon.com/pubs/EB/2008/Volume3/EB-07C10011A.pdf
    Appears in Collections:[計量財務金融學系] 期刊論文

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