期刊論文1. | 李存修、林岳賢(19990800)。重設選擇權之評價與避險操作。中國財務學刊,7(2),113-150。 延伸查詢 |
2. | Granger, C. W. J.、Newbold, P.(1976)。Forecasting Transformed Series。Journal of the Royal Statistical Society. Series B (Methodological),38,189-203。 |
3. | Engle, Robert F.、Hendry, David F.、Richard, Jean F.(1983)。Exogeneity。Econometrica,51(2),277-304。 |
4. | Conrad, J.(1989)。The Price Effect of Option Introduction。Journal of Finance,44,487-498。 |
5. | 劉文祺、洪瑩珊、詹麗錦(20010300)。上限型認購權證評價模式之實證研究。證券櫃檯,57,1-27。 延伸查詢 |
6. | 王毓敏(20020100)。交易量及波動性之關聯性--臺股認購權證與標的股票之探討。管理評論,21(1),115-136。 延伸查詢 |
7. | Omran, M. F.、McKenzie, E.(2000)。Heteroscedasticity in Stock Returns Data Revisited: Volume versus GARCH Effects。Applied Financial Economics,10,553-560。 |
8. | 曾維德(19981000)。認購權證的發行及交易與標的股票間之相互影響。證券金融,59,25-57。 延伸查詢 |
9. | Modigliani, F.、Miller, M.(1958)。The Costs of Capital, Corporation Finance, and the Theory of Investment。The American Economic Review,48(3),261-297。 |
10. | Engle, R. F.(1982)。Autoregressive Conditional Heteroske- dasticity with Estimates of the Variance of U.K. Inflation。Econometrica,50(4),987-1008。 |
11. | McLeod, A. I.、Li, W. K.(1983)。Diagnostic Checking ARMA Time Series Models Using Squared-Residual Autocorrelations。Journal of Time Series Analysis,4,269-273。 |
12. | 周行一、李怡宗、李志宏、劉玉珍、陳麗雯(20000400)。臺灣證券交易所認購權證價格與標的股票價格關係之研究。證券市場發展,12(1)=45,109-146。 延伸查詢 |
13. | Lamoureux, C. G.、Lastrapes, W. D.(1990)。Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects。The Journal of Finance,45(1),221-229。 |
14. | 陳苑欽(19981000)。臺股認購權證之評價與其發行對股票波動之影響研究。證券金融,59,89-128。 延伸查詢 |
15. | Fama, E. F.(1965)。The behavior of stock market prices。Journal of Business,38(1),34-105。 |
16. | Ljung, Greta M.、Box, George E. P.(1978)。On a Measure of Lack of Fit in Time Series Models。Biometrika,65(2),297-303。 |
17. | Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。 |
18. | Bollerslev, Tim、Chou, Ray Y.、Kroner, Kenneth F.(1992)。ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence。Journal of Econometrics,52(1/2),5-59。 |
19. | Dickey, David A.、Fuller, Wayne A.(1979)。Distribution of the Estimators for Autoregressive Time Series With a Unit Root。Journal of the American Statistical Association,74(366),427-431。 |
20. | Mandelbrot, Benoit B.(1963)。The Variation of Certain Speculative Prices。The Journal of Business,36(4),394-419。 |
21. | Watt, W. H.、Draper, P.、Yadav, P. K.(1992)。The Impact of Option Listing on Underlying Stock Returns: The UK Evidence。Journal of Business Finance & Accounting,19(4),485-503。 |
22. | Jorion, P.、Detemple, J.(1990)。Option Listing and Stock Returns: An Empirical Analysis。Journal of Banking & Finance,14,781-801。 |
23. | Sultan, J.、Tandon, K.、Shastri, K.(1996)。The Impact of the Listing of Options in the Foreign Exchange Market。Journal of International Money and Finance,15(1),37-64。 |
24. | Pesaran, B.、Robinson, G.(1993)。The European Exchange Rate Mechanism and the Volatility of the Sterling-Deutschemark Exchange Rate。The Economic Journal,103,1418-1431。 |
25. | Stucki, T.、Wasserfallen, W.(1994)。Stock and Option Markets: The Swiss Evidence。Journal of Banking & Finance,18,881-893。 |
26. | Caggese, A.、Becchetti, L.(2000)。Effects of Index option Introduction on Stock Index Volatility: A Procedure for Empirical Testing Based on SSC-GARCH Models。Applied Financial Economics,10,323-341。 |
27. | Hakansson, N. H.(1982)。Changes in the Financial Market: Welfare and Price Effects and the Basic Theorems of Value Conservation。The Journal of Finance,37,977-1004。 |