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題名:臺指選擇權VIX指數編制法及VIX指數基礎下避險策略之研究
書刊名:臺灣期貨與衍生性商品學刊
作者:涂登才杜玉振 引用關係卓必靖
出版日期:2004
卷期:2
頁次:頁88-107
主題關鍵詞:臺指選擇權VIX指數波動率指數
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(1) 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:1
  • 共同引用共同引用:0
  • 點閱點閱:13
期刊論文
1.Anderson, Ronald W.、Danthine, Jean-pierre(1981)。Cross hedging。Journal of Political Economy,89(6),1182-1196。  new window
2.Jarrow, Robert A.(1994)。Derivative security markets, market manipulation, and option pricing theory。Journal of Financial and Quantitative Analysis,29(2),241-261。  new window
3.吳易欣(2003)。由VIX指數分析股市變盤訊號。債券觀察家,2003(4月號),1-4。  延伸查詢new window
4.Klemkosky, R. C.(1978)。The Impact of Option Expiration on Stock Prices。Journal of Financial and Quantitative Analysis,13(3),507-518。  new window
5.Pope, P. F.、Yadav, Pradeep K.(1992)。The Impact of Expiration on Underlying Stocks: the UK Evidence。Journal of Business Finance and Accounting,19(3),329-344。  new window
6.Whaley, R. E.(1986)。Valuation of American Futures Options: Theory and Empirical Tests。The Journal of Finance,41(1),127-150。  new window
7.Simon, David P.(2002)。Implied Volatility Forecasts in the Grains Complex。Journal of Futures Markets,22(10),959-981。  new window
8.Hyerczyk, James A.(2001)。Volatility Matters: Better Position Sizing。Future,30(6),34-36。  new window
9.Harvey, C. R.、Whaley, R. E.(1991)。S&P 100 Index Option Volatility。The Journal of Finance,46(4),1551-1561。  new window
10.Galai, D.(1997)。Tests of Market Efficiency of the Chicago Board Options Exchange。The Journal of Business,50(2),167-197。  new window
11.Stoll, Hans R.、Whaley, Robert E.(1987)。Program Trading and Expiration-day Effects。Financial Analysts Journal,43(2),16-28。  new window
12.Stoll, Hans R.、Whaley, Robert E.(1991)。Expiration-day Effects: What Has Changed?。Financial Analysts Journal,47(1),58-72。  new window
13.Howard, Charles T.、D'Antonio, L. J.(1984)。A Risk-Return Measure of Hedging Effectiveness。Journal of Financial and Quantitative Analysis,19(1),101-112。  new window
14.Harvey, C. R.、Whaley, R. E.(1992)。Market Volatility Prediction and the Efficiency of S&P 100 Index Options Market。Journal of Financial Economics,31(1),43-73。  new window
15.Ghosh, Asim(1993)。Hedging with Stock Index Futures: Estimation and Forecasting with Error Correction Model。Journal of Futures Markets,13(7),743-752。  new window
16.French, Kenneth R.、Roll, Richard(1986)。Stock Return Variances: The Arrival of Information and the Reaction of Traders。Journal of Financial Economics,17(1),5-26。  new window
17.Schwert, G. William(1990)。Stock Volatility and the Crash of '87。Review of Financial Studies,3(1),77-102。  new window
18.吳承康(20020900)。芝加哥選擇權交易所波動度指數(VIX)簡介。臺灣期貨市場,4(5),17-23。  延伸查詢new window
19.Whaley, R. E.(20000300)。The Investor Fear Gauge。Journal of Portfolio Management,26(3),12-17。  new window
20.Granger, C. W. J.(1981)。Some Properties of Time Series Data and Their Use in Econometric Model Specification。Journal of Econometrics,16(1),121-130。  new window
21.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
22.Schwert, G. William(1989)。Why Does Stock Market Volatility Change Over Time?。Journal of Finance,44(5),1115-1153。  new window
23.Dumas, Bernard、Fleming, Jeff、Whaley, Robert E.(1998)。Implied Volatility Functions: Empirical Tests。Journal of Finance,53(6),2059-2106。  new window
24.French, Kenneth R.、Schwert, G. William、Stambaugh, Robert F.(1987)。Expected stock returns and volatility。Journal of Financial Economics,19(1),3-29。  new window
25.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
26.Ederington, Louis H.(1979)。The Hedging Performance of the New Futures Markets。Journal of Finance,34(1),157-170。  new window
27.Christie, Andrew A.(1982)。The Stochastic Behavior of Common Stock Variances: Value, Leverage and Interest Rate Effects。Journal of Financial Economics,10(4),407-432。  new window
會議論文
1.Duque, J.、Lopes, P. Teixeira(1999)。Maturity and Volatility Effects on Smiles, Or Dying Smiling ?。EFA 1999。Helsinki。  new window
2.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.胡僑芸(2003)。臺指選擇權VIX指數之編制與交易策略分析(碩士論文)。國立中山大學。  延伸查詢new window
2.楊森傑(2000)。股價指數價格預測與避險操作--熵預測模型與灰預測模型之應用(碩士論文)。銘傳大學。  延伸查詢new window
3.盧佳鈺(2003)。台指選擇權隱含波動率指標之資訊內涵(碩士論文)。國立臺灣大學。  延伸查詢new window
4.潘耀燦(2001)。股價指數期貨避險研究--OLS模型、誤差修正模型與基差平穩化模型之應用與比較(碩士論文)。銘傳大學。  延伸查詢new window
其他
1.Chicago Board Options Exchange(2003)。VIX Introduction, Vix Whitepaper,http://www.cboe.com/micro/vix/index.asp。  new window
2.Chicago Board Options Exchange(2003)。Frequently Asked Questions about the New VIX,http://www.cboe.com/micro/vix/faq.asp。  new window
3.Chicago Board Options Exchange(2003)。Vix Whitepaper,http://www.cboe.com/micro/vix/vixwhite.pdf。  new window
4.Hulbert, Mark(2003)。Chicago Board Options Exchange,VIX Introduction,http://www.cboe.com/niicro/vix/index.asp。  new window
 
 
 
 
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