東華大學圖書館 |

Language: English

Help

回圖書館首頁

手機版館藏查詢

Back

Switch To: Labeled | MARC Mode | ISBD

Estimation of the information time s...

Li, Yan.

Linked to FindBook

Google Book

Amazon

博客來

Estimation of the information time stock return model.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Estimation of the information time stock return model./
Author:	Li, Yan.
Description:	117 p.
Notes:	Source: Dissertation Abstracts International, Volume: 65-11, Section: A, page: 4291.
Contained By:	Dissertation Abstracts International65-11A.
Subject:	Economics, Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3152953
ISBN:	0496133888

Estimation of the information time stock return model.
Li, Yan.

Estimation of the information time stock return model. - 117 p.

Source: Dissertation Abstracts International, Volume: 65-11, Section: A, page: 4291.

Thesis (Ph.D.)--Yale University, 2004.

My dissertation is centered on the use of information time or stochastic time changes in modeling stock returns. In this model, stock returns are modeled as a Brownian motion in information time instead of calendar time.

ISBN: 0496133888Subjects--Topical Terms:

626650
Economics, Finance.

Estimation of the information time stock return model.
LDR:03173nmm 2200301 4500 001 1841176
005 20050823122919.5
008 130614s2004 eng d
020 $a 0496133888
035 $a (UnM)AAI3152953
035 $a AAI3152953
040 $a UnM $c UnM
100 1 $a Li, Yan. $3 1028952
245 1 0 $a Estimation of the information time stock return model.
300 $a 117 p.
500 $a Source: Dissertation Abstracts International, Volume: 65-11, Section: A, page: 4291.
500 $a Director: Peter C. B. Phillips.
502 $a Thesis (Ph.D.)--Yale University, 2004.
520 $a My dissertation is centered on the use of information time or stochastic time changes in modeling stock returns. In this model, stock returns are modeled as a Brownian motion in information time instead of calendar time.
520 $a Part I. Estimation of Information Time in Stock Returns addresses the problem of the identification of information time in the stochastic time change model. The main purpose of this chapter is to investigate whether the information time can be identified as an observable process. I consider three possible variables: cumulative trading volume, cumulative number of transactions and cumulative realized volatility. I address an identification problem in a previous study and modify their GMM test to study these three variables. I also conduct conditional and unconditional nonparametric density estimation and standard normality tests to test the normality assumption under information time. The uncorrelated increment property implied by the Brownian motion assumption is also examined.
520 $a Part II. Estimation of the Intrinsic Time CAPM tests the Intrinsic Time CAPM developed by Derman (2002). Based on the assumption that stocks with the same risk measured in information time receive the same return in information time, the information time CAPM suggests that calendar time excess stock returns should be linear to standard CAPM betas adjusted by trading frequencies. This chapter tests the information time CAPM using daily individual stock returns. I use trading volume to approximate the trading frequency in the model. Tests analogous to those in the context of traditional CAPM testing are conducted.
520 $a Part III. Option Pricing in Iinformation Time and its Estimation considers the implication of the information time stock return model in option pricing. I study an option pricing model assuming that the stock return is a Brownian Motion under information time and the information time increment has a log-normal distribution. The result of the option pricing model is a sum of a standard Black-Scholes model solution weighted by the density of the information time increment. Numerical simulation and calibration are used to compare the estimation results with the Black-Scholes benchmark model in an attempt to confirm the volatility smile effect.
590 $a School code: 0265.
650 4 $a Economics, Finance. $3 626650
690 $a 0508
710 2 0 $a Yale University. $3 515640
773 0 $t Dissertation Abstracts International $g 65-11A.
790 1 0 $a Phillips, Peter C. B., $e advisor
790 $a 0265
791 $a Ph.D.
792 $a 2004
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3152953