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dc.contributor.authorWang, NJen_US
dc.contributor.authorWang, KLen_US
dc.contributor.authorJeng, JHen_US
dc.date.accessioned2019-04-02T06:04:41Z-
dc.date.available2019-04-02T06:04:41Z-
dc.date.issued2005-01-01en_US
dc.identifier.urihttp://hdl.handle.net/11536/150780-
dc.description.abstractThis paper examines the realized integrated variance of the daily return rate series of S&P 500, Nasdaq and FTSE 100 respectively. The realized integrated variance is defined to be the statistical variance of the market index return rates within a certain time window. In stead of regarding the realized integrated variance as an empirical approximate of the latent spot volatility as formally defined in a mathematical framework, such as GARCH, we treat it as a direct "observable" volatility measure and try to model its dynamics straightforward. First, we find the volatility series is a stochastic jump-decay process rather than being all-over-the-time stationary in each market. Also, under switching bull and bear market conditions, the volatility series exhibits significantly different dynamic characteristics. Secondly, some major market structures, related to volatility mechanism, might have changed due to the hefty usage of options for hedging volatility risk after 1997.en_US
dc.language.isoen_USen_US
dc.subjectvolatilityen_US
dc.subjectrealized integrated varianceen_US
dc.subjectCEV modelen_US
dc.subjectwaveleten_US
dc.titleAn empirical approach toward realistic modeling of capital market volatilityen_US
dc.typeProceedings Paperen_US
dc.identifier.journalProceedings of the 8th Joint Conference on Information Sciences, Vols 1-3en_US
dc.citation.spage1047en_US
dc.citation.epage1051en_US
dc.contributor.department交大名義發表zh_TW
dc.contributor.departmentNational Chiao Tung Universityen_US
dc.identifier.wosnumberWOS:000233670801120en_US
dc.citation.woscount0en_US
Appears in Collections:Conferences Paper