¿´¶®Êг¡¡°Í»È»Ìø¶¯¡±£ºIBSSѧÕßÓÃÆÚȨÊý¾ÝÁ¿»¯ÌøÔ¾·çÏÕ£¬³É¹ûÒÑ·¢±íÓÚJEDC

2025Äê10ÔÂ30ÈÕ

×òÌ컹ÊDz¨À½²»¾ª£¬½ñÌìȴͻȻ´óÕÇ»ò´óµø¡ª¡ªÕâÑùµÄ¡°ÌøÔ¾Ê½¡±ÐÐÇéÈÃÐí¶àͶ×ÊÕß´ëÊÖ²»¼°¡£ÓÐûÓа취ÔÚ¼Û¸ñÕæÕýÌø¶¯Ö®Ç°£¬´ÓÊг¡±¾Éí¶Áµ½Ò»Ð©ÐźÅ£¿Î÷½»ÀûÎïÆÖ´óѧ£¨XJTLU£©Î÷ÆÖ¹ú¼ÊÉÌѧԺ£¨IBSS£©½ðÈÚϵ¸ß¼¶¸±½ÌÊÚÈîöηᲩʿ¼°ºÏ×÷ÕßµÄ×îÐÂÑо¿¸ø³öÁ˴𰸡£ÆäÂÛÎÄ¡¶Merton (1976) Implied Jump¡·ÒÑÕýʽ·¢±íÓÚ¹ú¼ÊÖªÃûÆÚ¿¯ ¡¶Journal of Economic Dynamics and Control¡·£¨JEDC£©¡£¸ÃÑо¿ÒÔ¾­µäµÄ Merton ÌøÔ¾¡ªÀ©É¢Ä£ÐÍΪ»ù´¡£¬Ìá³öÁËÒ»ÖÖ´ÓÆÚȨÊг¡ÖÐʶ±ðºÍÁ¿»¯¡°Òþº¬ÌøÔ¾¡±µÄз½·¨£¬´Ó¶øÎªÀí½â½ðÈÚÊг¡ÖеÄÍ»·¢ÐÔ²¨¶¯Óë·çÏÕ¶¨¼ÛÌṩÁËеķÖÎö¿ò¼ÜºÍʵ֤֤¾Ý¡£

ÔÚ½ðÈÚ¾­¼ÃѧÖУ¬Òþº¬²¨¶¯Âʳ¤ÆÚ±»ÊÓΪºâÁ¿Êг¡·çÏÕÔ¤ÆÚµÄºËÐÄÖ¸±ê¡£Ëü·´Ó³ÁËͶ×ÊÕß¶ÔδÀ´Êг¡²¨¶¯ÐÔµÄÕûÌåÅжϣ¬²¢ÔÚ×ʲú¶¨¼ÛÓë·çÏÕ¹ÜÀíÖз¢»ÓÁËÖØÒª×÷Óá£È»¶ø£¬½ðÈÚÊг¡Öеļ۸ñ±ä»¯²¢·ÇʼÖÕÆ½»¬Á¬Ðø£¬Í»·¢Ê¼þ¡¢ºê¹ÛÕþ²ßµ÷Õû»òµØÔµÕþÖγåÍ»³£³£Òý·¢¼Û¸ñµÄ¡°ÌøÔ¾¡±Ê½±ä¶¯¡£ÕâÀàÌøÔ¾·çÏÕÔÚÊг¡ÔËÐÐÖаçÑÝ׏ؼü½ÇÉ«£¬µ«´«Í³Òþº¬²¨¶¯ÂÊÖ¸±êÍùÍùÎÞ·¨ÓÐЧ²¶×½¡£»ùÓÚÕâÒ»ÏÖʵÎÊÌ⣬¸ÃÑо¿³¢ÊԻشðÒ»¸ö³¤ÆÚδ±»³ä·Ö½â¾öµÄºËÐÄÎÊÌ⣺ÄÜ·ñÏñ¹ÀËãÒþº¬²¨¶¯ÂÊÄÇÑù£¬´ÓÆÚȨ¼Û¸ñÖÐÖ±½ÓÍÆ¶Ï³öÊг¡¶ÔÌøÔ¾·çÏÕµÄÔ¤ÆÚ£¿

Ñо¿ÍŶÓÔÚÕâÒ»ÎÊÌâÉÏ×÷³öÁË´´ÐÂÐԵĻشð¡£ËûÃÇÒÔ Merton ÓÚ 1976 ÄêÌá³öµÄÌøÔ¾¡ªÀ©É¢Ä£ÐÍΪÀíÂÛ³ö·¢µã£¬¹¹½¨ÁËÒ»Ì×Äܹ»´ÓÆÚȨÊý¾ÝÖз´ÍƳöͶ×ÊÕßÌøÔ¾Ô¤ÆÚµÄз½·¨¡£ÕâÒ»·½·¨Í¨¹ýϵͳµØ¹À¼ÆÄ£ÐͲÎÊý£¬²¢½áºÏÆÚȨÊг¡µÄºá½ØÃæ¼Û¸ñÐÅÏ¢£¬³É¹¦ÌáÁ¶³ö·´Ó³Êг¡ÌøÔ¾ÌØÕ÷µÄÖ¸±ê¡£»ùÓڸÿò¼Ü£¬Ñо¿ÍŶÓÌá³öÁËÁ½¸öеĺâÁ¿¹¤¾ß¡ª¡ªÒþº¬ÌøÔ¾ÆÚÍûÖ¸Êý£¨JIX£©ÓëÒþº¬ÌøÔ¾²¨¶¯Ö¸Êý£¨JVIX£©£¬·Ö±ð´ú±íÊг¡¶Ô¼Û¸ñÌøÔ¾·ù¶ÈÓëÌøÔ¾²»È·¶¨ÐÔµÄÔ¤ÆÚ¡£Ó봫ͳ²¨¶¯ÂÊÖ¸±ê²»Í¬£¬ÕâÁ½¸öÖ¸ÊýÄܹ»½ÒʾÊг¡ÔÚ¼«¶Ë·çÏÕÇ龳ϵÄÇéÐ÷±ä»¯Óë·çÏÕÒç¼Û½á¹¹¡£

ͨ¹ý¶ÔÃÀ¹ú¹ÉÖ¸ÆÚȨÊг¡Ê®ÓàÄêµÄÊý¾Ý·ÖÎö£¬Ñо¿·¢ÏÖ£¬Òþº¬ÌøÔ¾Ö¸ÊýÓëÊг¡ºóÐø±íÏÖÃÜÇÐÏà¹Ø¡£µ±ÌøÔ¾Ö¸ÊýÉÏÉýʱ£¬Êг¡Í¨³£ÔÚËæºó³öÏÖ¸ü¸ßµÄÊÕÒæ»ò·çÏÕ²¹³¥£¬Õâ±íÃ÷Ͷ×ÊÕßȷʵÔÚÆÚȨ¶¨¼ÛÖÐÄÉÈëÁ˶ÔÍ»·¢Ê¼þµÄµ£ÓÇ¡£´ËÍâ£¬ÌøÔ¾Ö¸ÊýÔÚÔ¤²âδÀ´Êг¡²¨¶¯·½ÃæÍ¬ÑùÕ¹ÏÖ³öÏÔÖøÓÅÊÆ£¬ÆäÐÅÏ¢º¬Á¿³¬¹ý´«Í³Òþº¬²¨¶¯ÂÊÖ¸±ê¡£Ñо¿½øÒ»²½±íÃ÷£¬½«ÕâЩָÊýÄÉÈëÖ÷Á÷µÄ²¨¶¯ÂÊÔ¤²âÄ£ÐÍ£¬¿ÉÒÔÏÔÖøÌáÉýÄ£Ð͵ĽâÊÍÁ¦ºÍÔ¤²â¾«¶È¡£

¸ÃÑо¿µÄѧÊõ¹±Ïײ»½öÌåÏÖÔÚÌá³öÁËеÄÒþº¬ÌøÔ¾²â¶È·½·¨£¬¸üÖØÒªµÄÊÇ£¬ËüÔÚÀíÂÛÓëʵ֤²ãÃæ¼ÜÆðÁËÒ»×ùÇÅÁº£¬Ê¹µÃ½ðÈÚÊг¡Öп´²»¼ûµÄ¡°ÌøÔ¾Ô¤ÆÚ¡±Äܹ»±»¶¨Á¿»¯µØÊ¶±ðÓë·ÖÎö¡£ÕâΪÑо¿¼«¶Ë·çÏÕ¡¢Î²²¿Ê¼þÒÔ¼°Êг¡ÇéÐ÷ÌṩÁËÐµĹ¤¾ß£¬Ò²Îª¼à¹Ü»ú¹¹ºÍͶ×ÊÕßÌṩÁ˼à²âϵͳÐÔ·çÏÕµÄÐÂ˼·¡£ÔÚʵ¼ù²ãÃæ£¬ÕâÒ»¿ò¼Ü¿É±»Ó¦ÓÃÓÚ¹ÉÆ±¡¢ÉÌÆ·¡¢Íâ»ãµÈ²»Í¬Êг¡£¬ÓÃÒÔʶ±ðDZÔڵķçÏÕ»ý¾ÛºÍ´«µ¼Â·¾¶¡£

ÈîöηᣬÏÖÈÎÎ÷½»ÀûÎïÆÖ´óѧÎ÷ÆÖ¹ú¼ÊÉÌѧԺ½ðÈÚѧ¸ß¼¶¸±½ÌÊںͽ­ËÕÊ¡ÌØÆ¸½ÌÊÚ¡£2019ÄêÖÁ2023ÄêÈνÌÓÚ°ÂËþ¸ç´óѧ£¨ÐÂÎ÷À¼£©£¬ÏȺóµ£ÈνðÈÚѧ½²Ê¦ºÍ¸ß¼¶½²Ê¦¡£2018ÄêÖÁ2019ÄêÔڰ¿ËÀ¼Àí¹¤´óѧ£¨ÐÂÎ÷À¼£©µ£Èβ©Ê¿ºóÑо¿Ô±¡£Ö÷ÒªÑо¿ÁìÓòΪ×ʲú¶¨¼ÛºÍÑÜÉúÆ·£¬ÔÚ¡¶Journal of Financial Markets¡·¡¢¡¶ Journal of Economic Dynamics & Control¡·¡¢¡¶Journal of Futures Markets¡·µÈSSCIÆÚ¿¯·¢±í30ÓàÆª¡£»ñµÃ2019Äê¶È°ÂËþ¸çÉÌѧԺ×î¼ÑÄê¶È¿ÆÑÐÈËÔ±(ÐÂÐË)¡£ÔÚ×î½üµÄ¹úÄں͹ú¼Ê»áÒéÉ϶à´Î»ñµÃ×î¼ÑÂÛÎĽ±¡£Ä¿Ç°µ£ÈΡ¶Journal of Chinese Economic and Business Studies¡·£¨Ó°ÏìÒò×Ó£º3.7£© ¸±Ö÷±à¡£»ñµÃ2019Äê¶È°ÂËþ¸çÉÌѧԺ×î¼ÑÄê¶È¿ÆÑÐÈËÔ±(ÐÂÐË)¡£ÒÑÖ¸µ¼½ðÈÚѧ²©Ê¿Éú£¨°ÂËþ¸ç´óѧ£©±ÏÒµ8Ãû¡£2023Äê»ñµÃ½­ËÕÊ¡ÌØÆ¸½ÌÊÚ£¨¡°½­ËÕÊ¡¸ß²ã´Î´´Ð´´ÒµÈ˲ÅÒý½ø¼Æ»®¡±½ÌÓýÀàÏîÄ¿£©¡£

¡¶Journal of Economic Dynamics and Control¡·£¨¼ò³Æ JEDC£©ÊÇÒ»·Ý¹ú¼ÊÖªÃûµÄѧÊõÆÚ¿¯£¬×¨×¢ÓÚ¾­¼Ã¶¯Á¦Ñ§Óë¿ØÖÆÀíÂÛ¼°Æäʵ֤Ñо¿¡£¸ÃÆÚ¿¯º­¸ÇµÄÄÚÈÝÊ®·Ö¹ã·º£¬²»½ö°üÀ¨ºê¹Û¾­¼ÃÄ£ÐÍ¡¢¶¯Ì¬¾ùºâ¡¢×îÓÅ¿ØÖÆ¡¢·ÇÏßÐÔ¶¯Á¦ÏµÍ³µÈÀíÂÛÑо¿£¬Ò²»¶Ó­½«¼ÆËã·½·¨¡¢Ëã·¨Éè¼Æ¡¢ÊýֵģÄâ¡¢È˹¤ÖÇÄÜÓëÊý¾Ý¿â·½·¨µÈÏÖ´ú¹¤¾ßÓ¦ÓÃÓÚ¾­¼ÃºÍ½ðÈÚÎÊÌâµÄÎÄÕ¡£ÆÚ¿¯Á¦ÇóΪÑо¿ÕßÌṩһ¸ö½«¾­¼ÃÀíÂÛ¡¢¶¯Ì¬·ÖÎöÓëÏÖ´ú¼ÆËã¼¼ÊõÈںϵÄѧÊõƽ̨£¬ÒÔ´Ù½ø¸´ÔÓ¾­¼ÃϵͳÓë»úÖÆµÄÉî¶ÈÀí½â¡£ÆÚ¿¯ÆÀ¼¶Îª ABDC-A*¡£

2025Äê10ÔÂ30ÈÕ

¡¾ÍøÕ¾µØÍ¼¡¿¡¾sitemap¡¿