论文代写:分析报告

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19/06/2020

本篇论文代写:分析报告主要讲的是分析和检查预定的宏观经济影响公告和计划外新闻公告,是由美国论文通论文代写平台提供。

论文代写:分析报告

本论文工作的目的是分析和检查预定的宏观经济影响公告和计划外新闻公告(a)个人美国主要股指和各自的隐含波动率指数(VIX, VXO VXN,等等),和(b)的存在任何波动溢出效应与江et al。(2012)。将会发布大量的新闻公告。新闻惊喜变量将使用彭博社的数据构建。结果将根据相关文献进行讨论。将进行子样本分析,以验证结果的稳健性,并检查在宏观经济新闻公告期间观察到的影响。

论文代写:分析报告

“对金融市场价格纳入基本信息的程度的分析是理论和实证金融文献的核心。[…]之前的研究通过研究宏观经济信息披露(通常没有首先确定其令人惊讶的内容)对股票和债券市场(通常是分开的)的影响,检验了金融变量和真实变量之间的联系(Brenner et al., 2009, p. 1286)。这篇文献综述的目的是呈现一些现存文献的发现。

论文代写:分析报告

假设:当新闻中出现意外效应时,隐含波动溢出就会存在。研究工作利用二手研究报告和美国指数的原始数据。在这项基于意外消息宣布的研究中,分析的市场指数是VIX、VXO和VXN这三个美国指数。芝加哥期权交易所根据标准普尔100 (OEX)期权计算波动性指数。VXO被称为相对波动指数。使用VXO标准差来计算波动率值。VXO股票波动率分析对于理解类似VIX的交易风险具有重要意义。

论文代写:分析报告

在波动中有一些临界点,需要考虑技术调整(Chang et al., 2015;Scotti, 2016)。虽然芝加哥期权交易所的标普VXO与VIX非常相似,但有必要对该指数进行单独研究,因为VIX的价值是从一个不同的基准中提取的。较窄的标准普尔100指数(OEX)被用于计算VXO,因此在研究波动指数时,该值被单独考虑(细细和威尔逊,2013)。使用SPX的转变允许更广泛的抽样,从而更好地理解期望(Kenourgios, 2014)。交易员通常密切关注VIX和VXO。新闻公告对VIX的意外影响,以及它与VXO的区别,因此可以作为详细的差异来研究。

论文代写:分析报告

The aim of this thesis work is to analyse and examine the effects scheduled macroeconomic announcements and unscheduled news announcements on (a) individual major U.S. stock indices and their respective implied volatility indices (VIX, VXO, VXN, etc.), and (b) the presence of any volatility spillovers in line with Jiang et al. (2012). An extensive list of news announcements will be employed. News surprise variables will be constructed using data from Bloomberg. Results will be discussed in light of related literature. Subsample analysis will be carried out to verify the robustness of results and examine the impact as observed during the macroeconomic news announcements.

论文代写:分析报告
“The analysis of the extent to which prices in financial markets incorporate fundamental information is central to the theoretical and empirical finance literature. […] Prior research has examined the links between financial and real variables by studying the effects of the disclosure of macroeconomic information (often without first identifying its surprise content) on stock and bond markets (often separately) (Brenner et al., 2009, p. 1286). The purpose of this literature review is to present the findings from some of these existing literature works.

论文代写:分析报告
Hypothesis Assumed: Implied Volatility Spillovers exist when there is a surprise effect in the news. The research work makes use of secondary research reports and primary data on the US indices.Market indices that are analysed in this research work based on surprise news announcements are that of the three US indices VIX, VXO and VXN. The CBOE calculates the volatility index based on the S & P 100 (OEX) options. The VXO is called the relative volatility index. The VXO standard deviation is used to calculate the volatility value. VXO stock volatility analysis is significant for understanding trading risks similar to the VIX.

论文代写:分析报告
There are critical points in volatility where it would be necessary to consider technical adjustments (Chang et al., 2015; Scotti, 2016). Now while the CBOE S & P VXO is very similar to the VIX, it is necessary to study this index separately as the VIX value is drawn from a different benchmark. The narrower S & P 100 index (OEX) is made use of for the calculations of VXO and hence the value is considered separately in studying volatility indices (Savor and Wilson, 2013). The switch to make use of SPX allows for a broader sampling and hence a better understanding of expectations (Kenourgios, 2014). Traders usually keep a close watch on VIX and VXO. The surprise effect of the news announcements on VIX and how it differs from VXO can hence be studied as detailed differences.

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