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دانلود رایکان مقاله انگلیسی ISI با موضوع تسلط تصادفی برای استراتژی های مدیریت ریسک مالی

عنوان فارسی مقاله:

یک رویکرد تسلط تصادفی برای استراتژی های مدیریت ریسک مالی

عنوان انگلیسی مقاله:

A stochastic dominance approach to financial risk management strategies

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بخشی از مقاله انگلیسی :

5. Data and implementation of tests

5.1. Data description

The data used for estimation and forecasting are closing daily prices (settlement prices) for the 30-day maturity CBOE VIX volatility index futures (ticker name VX). They were obtained from the Thomson Reuters-Data Stream Database for the period 26 March 2006–29 November 2013 (2526 observations). The settlement price is calculated by the CBOE as the average of the closing bid and ask quote so as to reduce the noise due to any microstructure effects. The contracts are cash settled on the Wednesday 30 days prior to the third Friday on the calendar month immediately following the month in which the contract expires. The underlying asset is the VIX index that was originally introduced by Whaley (1993) as an index of implied volatility on the S&P100. In 2003 the new VIX based on the S&P500 index was introduced.