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Implementing the Implied Volatility Tree for S&P 500 Options: Evidence from the Kernel-Regression Volatility Surface with an Algorithm for Dealing with Bad Transition Probabilities

Journal of Financial Studies

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Title Implementing the Implied Volatility Tree for S&P 500 Options: Evidence from the Kernel-Regression Volatility Surface with an Algorithm for Dealing with Bad Transition Probabilities
 
Creator Yueh-Neng Lin
 
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Description This paper analyzes the impact of pension fund investment management on stock markets using a robust panel threshold model （ROPTM） which combines a panel threshold model with a robust regression model. We use panel data for some OECD countries and Taiwan to test the validity of our propositions. The data is divided into low and high investment regions based on the value of stocks as a percentage of total financial assets of the pension fund. In the high investment region, pension funds have a positive impact on stock markets. Whereas, in the low investment region, the positive impact seems to disappear.Key words: pension funds, stock markets, robust panel threshold model （ROPTM）, Mestimators
 
Publisher Journal of Financial Studies
財務金èžå­¸åˆŠ
 
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Date 2011-03-10
 
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Format application/pdf
 
Identifier http://www.jfs.org.tw/index.php/jfs/article/view/2011076
 
Source Journal of Financial Studies; Vol 17, No 2 (2009); 35
財務金èžå­¸åˆŠ; Vol 17, No 2 (2009); 35
 
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