Equity Indices' Returns: Contingent Claims on GDP Stochastic Movements

Title
Equity Indices' Returns: Contingent Claims on GDP Stochastic Movements
Authors
이상빈
Keywords
contingent claim model; dynamic stochastic macroeconomic factors; Macro-finance; stock indices
Issue Date
2015-06
Publisher
Journal of Investment Management
Citation
Journal of Investment Management, v. 13, NO 2, Page. 94-110
Abstract
This paper proposes an equity index contingent claim model. The model assumes that the equity broad-based market indices’stochastic movements are contingent to macroeconomic risk factors that are derived from Ho et al.’s (HPS, 2012, 2013) and Ho and Lee’s (HL, 2015b, 2015c) theoretical models. The results show that these factors can explain the equity indices’ returns reasonably well.
URI
https://www.joim.com/equity-indices-returns-contingent-claims-on-gdp-stochastic-movements/http://hdl.handle.net/20.500.11754/25711
ISSN
1545-9144
Appears in Collections:
GRADUATE SCHOOL OF BUSINESS[S](경영전문대학원) > ETC
Files in This Item:
There are no files associated with this item.
Export
RIS (EndNote)
XLS (Excel)
XML


qrcode

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.

BROWSE