期刊論文1. | Andersen, Torben G.、Benzoni, Luca、Lund, Jesper(2002)。An Empirical Investigation of Continuous-time Equity Returns Models。The Journal of Finance,57(3),1239-1284。 |
2. | Jarrow, R. A.、Rosenfeld, E. R.(1984)。Jump Risks and the Intertemporal Capital Asset Pricing Model。Journal of Business,57(3),337-351。 |
3. | Chang, K. H.、Kim, M. J.(2001)。Jump and Time-Varying Correlations in Daily Foreign Exchange Rates。Journal of International Money and Finance,20(5),611-637。 |
4. | Ball, C. A.、Torous, W. N.(1985)。On Jumps in Stock Returns。Journal of Financial Quantitative Analysis,10,337-351。 |
5. | Bakshi, Gurdip、Cao, Charles、Chen, Zhiwu(1997)。Empirical Performance of Alternative Option Pricing Models。Journal of Finance,52(5),2003-2049。 |
6. | Bates, D. S.(1996)。Jumps and Stochastic Volatility: Evidence from the Options markets。Journal of Finance,46,1009-2049。 |
7. | Jarque, C. M.、Bera, A. K.(1987)。A Test for Normality of Observations and Regression Residuals。International Statistical Review,55(2),163-172。 |
8. | Chan, W. H.、Maheu, J. M.(2002)。Conditional Jump Dynamics in Stock Market Returns。Journal of Business and Economic Statistics,20(3),377-389。 |
9. | 林丙輝、葉仕國(19990900)。臺灣股票價格非連續跳躍變動與條件異質變異之研究。證券市場發展,11(1)=41,61-92。 延伸查詢 |
10. | Chen, S. W.、Shen, C. H.(2004)。GARCH, jumps and permanent and transitory components of volatility: The case of the Taiwan exchange rate。Mathematics and Computers in Simulation,67(3),201-216。 |
11. | Bates, D. S.(1996)。Jumps and Stochastic Volatility: Evidence from the Options Markets。Journal of Finance,46,1009-2049。 |
12. | Das, S. R.、Sundaram, R. K.(1999)。Of Smiles and Smirks: A Term Structure Perspective。Journal of Financial and Quantitative Analysis,34,211-240。 |
13. | Hsieh, G. D.、Tauchen, G.(1997)。Estimation of Stochastic Volatility Models with Diagnostic。Journal of Econometrics,81,159-201。 |
14. | Jorion, P.(1998)。On Jump Processes in the Foreign Exchange and Stock Markets。The Review of Financial Studies,1(4),427-445。 |
15. | Merton, R. C.(1976)。The Impact on Option Pricing of Specification Error in the Underlying Stock Price Returns。The Journal of Finance,31,333-350。 |
16. | Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。 |
17. | Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。 |
18. | Akgiray, V. and G. G. Booth,(1987)。Compound Distribution Models of Stock Returns: An Empirical Comparison。Journal of Financial Research,vol. 10,pp. 259-280。 |
19. | Ball, C. A. and W. N. Torous,(1985)。On Jumps in Stock Returns。Journal of Financial Quantitative Analysis,vol. 10,pp. 337-351。 |
20. | Das, S. R. and R. K. Sundaram,(1999)。Of Smiles and Smirks: A Term Structure Perspective。Journal of Financial and Quantitative Analysis,vol. 34,pp.211 -240。 |
21. | Das, S. R.,(2002)。The Surprise Element: Jumps in Interest Rate。Journal of Econometric,vol. 106,pp. 27-65。 |
22. | Akgiray, V.、Booth, G. G.(1987)。Compound Distribution Models of Stock Returns: An Empirical Comparison。Journal of Financial Research,10,259-280。 |
23. | Das, S. R.(2002)。The Surprise Element: Jumps in Interest Rate。Journal of Econometric,106,27-65。 |