Essays on asset price dynamics : EMM estimation자산가격 변화에 대한 연구 : EMM을 이용한 추정을 중심으로

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In this thesis, we investigate two issues related with the modeling of term structure of interest rates and equity returns. Understanding the dynamics of the term structure of interest rates and equity returns is important for various financial market activities such as asset allocation, derivatives pricing, hedging, and risk management. In chapter 2, we investigate the role of stochastic volatility and return jumps in reproducing the volatility dynamics and the shape characteristics of the KOSPI 200 returns distribution. Using efficient method of moments and reprojection analysis, we find that stochastic volatility models, both with and without return jumps, capture return dynamics surprisingly well. The stochastic volatility model without return jumps, however, cannot fully reproduce the conditional kurtosis implied by the data. Return jumps successfully complement this gap. We also find that return jumps are essential in capturing the volatility smirk effects observed in short-term options. In chapter 3, we investigate an unexplored but important issue in international term structure models. Recent evolution in international financial market has observed diverse heteroskedatic co-movement of the two-country interest rates wherein conditional negative correlations are not rare. We extend the canonical model of one country affine term structure models and quadratic term structure models into the two-country setup. We show both theoretically and empirically that two-country affine models cannot accommodate sign-switching correlations between the interest rates of two countries without violating the positivity of the nominal interest rates. On the contrary, our quadratic model is able to explain this feature as well as guarantee the positivity of the interest rates. Using the efficient method of moments, we find that the two-country quadratic model successfully explains the joint dynamics of Eurodollar yields, Euroyen yields, and Dollar/Yen exchange rate ret...
Advisors
Noh, Jae-Sunresearcher노재선researcher
Description
한국과학기술원 : 경영공학전공,
Publisher
한국과학기술원
Issue Date
2007
Identifier
262057/325007  / 000965186
Language
eng
Description

학위논문(박사) - 한국과학기술원 : 경영공학전공, 2007.2, [ vi, 161 p. ]

Keywords

EMM; option pricing models; equity return models; two-country term structure models; reprojection; 재투사이론; 추정; 옵션평가모형; 주가수익률 모형; 두나라 채권평가모형

URI
http://hdl.handle.net/10203/53477
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=262057&flag=dissertation
Appears in Collection
KGSM-Theses_Ph.D.(박사논문)
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