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題名:臺灣股票市場波動與認購權證市場之探討--各波動度模型之比較研究
書刊名:臺灣銀行季刊
作者:林武郎趙宗宏
出版日期:2003
卷期:54:3
頁次:頁89-112
主題關鍵詞:股票認購權證波動
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:14
  • 點閱點閱:0
期刊論文
1.Figlewski, Stephen(1989)。Options Arbitrage in Imperfect Markets。Journal of Finance,44(5),1289-1311。  new window
2.Jorion, P.(1995)。Predicting volatility in foreign exchange market。The Journal of Finance,50,507-528。  new window
3.Lamoureux, C. Q.、Lastrapes, W. D.(1993)。Forecasting Stock Return Variance: Toward an Understanding of Stochastic Implied Volatility。Review of Financial Studies,6(2),293-326。  new window
4.Castagna, A. D.、Matolcsy, Z. P.(1982)。A Two Stage Experimental Design To the Efficiency of the Market For Traded Stock Options And the Australian Evidence。Journal of Banking and Finance,6(4),521-532。  new window
5.Halpern, P. J.、Turnbull, S. M.(1985)。Empirical Tests of Boundary Conditions for Toronto Stock Exchange Options。The Journal of Finance,40,481-500。  new window
6.Mittnik, Stefan、Rieken, Sacha(2000)。Lower-Boundary Violations and Market Efficiency: Evidence from the German DAX-Index Option Market。The Journal of Futures Markets,20(5),405-424。  new window
7.徐守德、官顯庭、黃玉娟(19980700)。臺股認購權證定價之研究。管理評論,17(2),45-69。new window  延伸查詢new window
8.Engle, R. F.、Lilien, D. M.、Robins, R. P.(1987)。Estimating of Time-Varying Risk Premia in the Term Structure: the ARCH-M Model。Econometrica,55,391-407。  new window
9.Galai, D.(1977)。Test of Market Efficiency of the Chicago Board Options Exchange。Journal of Business,50,167-197。  new window
10.Latane, H.、Rendleman, R. J.(1976)。Standard Deviations of Stock Price Ratios Implied by Option Prices。Journal of Finance,31(2),369-381。  new window
11.Meade, N.(1993)。Forecasting the Return and Risk on a Portfolio of Assets。International Journal of Forecasting,9,373-386。  new window
12.Black, Fischer、Scholes, Myron(1972)。The Valuation of Option Contracts and a Test of Market Efficiency。Journal of Finance,27(2),399-417。  new window
13.Chiras, Donald P.、Manaster, Steven(1978)。The Information Content of Option Prices and a Test of Market Efficiency。Journal of Financial Economics,6(2/3),213-234。  new window
14.Day, Theodore E.、Lewis, Craig M.(1992)。Stock Market Volatility and the Information Content of Stock Index Options。Journal of Econometrics,52(1/2),267-287。  new window
15.Fornari, F.、Mele, A.(1997)。Sign- and volatility-switching ARCH models: Theory and applications to international stock markets。Journal of Applied Econometrics,12(1),49-65。  new window
16.Morgan, I. G.(1976)。Stock Prices and Heteroscedasticity。Journal of Business,49,496-508。  new window
17.Noh, J.、Engle, R. F.、Kane, A.(1994)。Forecasting Volatility and Option Prices of the S&P 500 Index。Journal of Derivatives,2(1),17-30。  new window
18.Rabemananjara, R.、Zakoïan, J. M.(1993)。Threshold ARCH Models and Asymmetries in Volatility。Journal of Applied Econometrics,8,31-49。  new window
19.Sentana, Enrique(1995)。Quadratic ARCH Models。The Review of Economic Studies,62(4),639-661。  new window
20.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
21.Engle, Robert F.、Ng, Victor K.(1993)。Measuring and testing the impact of news on volatility。The Journal of Finance,48(5),1749-1778。  new window
22.Akgiray, Vedat(1989)。Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts。The Journal of Business,62(1),55-80。  new window
23.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
24.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
25.Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society,59(2),347-370。  new window
26.Glosten, Lawrence R.、Jagannathan, Ravi、Runkle, David E.(1993)。On the Relation Between the Expected Value and the Volatility on the Nominal Excess Returns on Stocks。Journal of Finance,48(5),1779-1801。  new window
會議論文
1.Black, Fisher(1976)。Studies of Stock Price Volatility Changes。The 1976 Meeting of Business and Economic Statistics Section。American Statistical Association。177-181。  new window
學位論文
1.陳裴紋(1995)。臺灣股票市場報酬率與波動性預測之研究:ARCH-family模型之運用(碩士論文)。國立臺灣大學。  延伸查詢new window
2.吳佳貞(1998)。波動度預測模型之探討(碩士論文)。國立政治大學。  延伸查詢new window
3.李健瑋(1998)。認購權證評價模式錯價之探討(碩士論文)。國立中正大學。  延伸查詢new window
4.毛傳志(1996)。兩岸三地股票市場制度面比較與市場特性探討(碩士論文)。國立東華大學。  延伸查詢new window
5.陳俊銘(2001)。券商發行權證之損益與權證課稅合理性之探討(碩士論文)。國立政治大學。  延伸查詢new window
6.許瓊方(2001)。認購權證與股票市場價格變動因果關係之因素分析(碩士論文)。國立中正大學。  延伸查詢new window
7.楊青(1990)。非完全競爭市場下認購權證評價:臺灣之實證(碩士論文)。國立臺灣大學。  延伸查詢new window
8.陳煒朋(1999)。GARCH模型與隱含波動性模型預測能力之比較(碩士論文)。淡江大學。  延伸查詢new window
圖書
1.陳威光(2001)。選擇權:理論、實務與運用。臺北:智勝文化。  延伸查詢new window
 
 
 
 
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