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Implied higher moments on Japanese Nikkei index options and futures options contracts.

Ho Kin Fai. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (leaves 71-73). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Background --- p.1 / Chapter 1.2 --- Motivation --- p.3 / Chapter 1.3 --- Chapter Layout --- p.5 / Chapter 1.4 --- Summary --- p.7 / Chapter 2 --- Literature Review --- p.11 / Chapter 2.1 --- Implied Asset Return Distribution --- p.13 / Chapter 2.2 --- The Jarrow-Rudd Skewness and Kurtosis-Adjusted Model --- p.16 / Chapter 2.3 --- Implied Moments in Asset Return Distribution --- p.24 / Chapter 2.4 --- Summary --- p.26 / Chapter 3 --- Methodology --- p.28 / Chapter 3.1 --- Application to the Nikkei Index Options --- p.28 / Chapter 3.2 --- In-Sample Parameters Estimation --- p.31 / Chapter 3.3 --- Out-Sample Prediction Error Evaluation --- p.34 / Chapter 3.4 --- Time-Series Movements of Higher Moments --- p.35 / Chapter 3.5 --- Summary --- p.37 / Chapter 4 --- Empirical Results --- p.38 / Chapter 4.1 --- In-Sample Parameters Estimation --- p.38 / Chapter 4.2 --- The Out-Sample Prediction Error Evaluation --- p.43 / Chapter 4.3 --- Time Series Movements of Higher Moments --- p.45 / Chapter 4.4 --- Implications --- p.55 / Chapter 4.5 --- Summary --- p.57 / Chapter 5 --- Conclusions --- p.59 / Chapter A --- Additional Figures --- p.62

Identiferoai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_324977
Date January 2004
ContributorsHo, Kin Fai., Chinese University of Hong Kong Graduate School. Division of Systems Engineering and Engineering Management.
Source SetsThe Chinese University of Hong Kong
LanguageEnglish, Chinese
Detected LanguageEnglish
TypeText, bibliography
Formatprint, ix, 73 leaves : ill. ; 30 cm.
CoverageJapan, Japan, Japan, Japan
RightsUse of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/)

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