| 計量財務理論與計算研討會
陳文憲 教授
(
University of Miami )
Estimating Volatility in Markets with Price Limits
摘要
| | Abstract:
Daily price limits are popular in emerging financial markets. Estimating volatility in those markets faces difficulties. It is apparent that ignoring price limits or deleting prices on limit days will lead to underestimating the volatility. The degree of underestimation can be serious if price limits are rigid but the true volatility is not negligible. In this paper, we propose two methods, in fact, was introduced in [2] in a different formulation. We prove the estimators of both methods are strongly consistent. We also compare the two methods through simulation and provide an illustration of the serious degree of underestimation resulting from either ignoring price limits or deleting prices on limit days.
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90年10月30日 (星期二)
16:10-17:00
台灣大學數學系新數館102室
合辦單位:中央研究院統計科學研究所、台灣大學數學系
協辦單位:國家科學委員會數學研究推動中心
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