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題名:商品期貨波動性之預測--CARR模型之應用
書刊名:朝陽商管評論
作者:鄭婉秀鄒易凭蘇欣玫
作者(外文):Cheng, Wan-hsiuTzou, Yi-pinSu, Hsin-mei
出版日期:2006
卷期:5:2
頁次:頁115-132
主題關鍵詞:變幅CARR模型GED分配商品期貨RangeCARR modelGED distributionCommodity futures
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:8
  • 點閱點閱:25
期刊論文
1.Beckers, S.(1983)。Variance of security price return based on high, low and closing prices。Journal of Business,56,97-112。  new window
2.Day, T. E.、Lewis, C. M.(1993)。Forecasting futures market volatility。Journal of Derivatives,1,33-50。  new window
3.Engle, R.、Russell, J.(1998)。Autogressive conditional duration: A new model for irregular spaced transaction data。Econometrica,66,1127-1162。  new window
4.Fleming, J.(1998)。The quality of market volatility forecasts implied by S&P100 index options prices。Journal of Empirical Finance,5,317-345。  new window
5.Jorion, P.(1995)。Predicting volatility in foreign exchange market。The Journal of Finance,50,507-528。  new window
6.Latane, H.、Rendleman, R. J.(1976)。Standard deviation of stock price ratios implied by option premia。Journal of Finance,31,369-382。  new window
7.Mandelbrot, B.(1971)。When can price be arbitraged efficiency? A limit to the validity of the random walk and martingale models。Review of Economics and Statistics,53,225-236。  new window
8.Galant, A. R.、Hsu, C. T.、Tauchen, G. E.(1999)。Calculating volatility diffusions and extracting integrated volatility。Review of Economics and Statistics,81,617-631。  new window
9.Davidian, M.、Carroll, R. J.(1987)。Variance Function Estimation。Journal of American Statistical Association,82(400),1079-1091。  new window
10.周雨田、巫春洲、劉炳麟(20040600)。動態波動模型預測能力之比較與實證。財金論文叢刊,1,1-23。new window  延伸查詢new window
11.Garman, Mark B.、Klass, Michael J.(1980)。On the Estimation of Security Price Volatilities from Historical Data。The Journal of Business,53(1),67-78。  new window
12.Fama, E. F.(1965)。The behavior of stock market prices。Journal of Business,38(1),34-105。  new window
13.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
14.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
15.Alizadeh, Sassan、Brandt, Michael W.、Diebold, Francis X.(2002)。Range-based Estimation of Stochastic Volatility Models。The Journal of Finance,57(3),1047-1091。  new window
16.Chou, R. Y.(2005)。Forecasting financial volatilities with extreme values: the conditional autoregressive range (CARR) Model。Journal of Money, Credit and Banking,37(3),561-582。  new window
17.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
18.Parkinson, Michael(1980)。The extreme value method for estimating the variance of the rate of return。Journal of Business,53(1),61-65。  new window
19.Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society,59(2),347-370。  new window
20.Yang, D.、Zhang, Q.(2000)。Drift-independent Volatility Estimation Based on High, Low, Open, and Close Prices。Journal of Business,73,477-491。  new window
研究報告
1.Brandt, M. W.、Jones, C. S.(2002)。Volatility forecasting with range-based EGARCH models。University of Pennsylvania。  new window
圖書
1.Taylor, S.(1986)。Modelling financial time series。Chichester:New York:John Wiley and Sons。  new window
 
 
 
 
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