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題名:波動率指標、真實波動率與市場報酬間關係之研究
書刊名:中原企管評論
作者:羅庚辛 引用關係藍宇文李宛柔
作者(外文):Lo, Keng-HsinLan, Yu-WenLee, Wan-Rou
出版日期:2007
卷期:5:2
頁次:頁41-71
主題關鍵詞:波動率指標真實波動率市場報酬不對稱關係Volatility indexReal volatilityMarket returnAsymmetric relation
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(2) 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:2
  • 共同引用共同引用:9
  • 點閱點閱:28
期刊論文
1.黃華山、邱一薰(20051200)。類神經網路預測臺灣50股價指數之研究。資訊、科技與社會學報,5(2)=9,19-42。new window  延伸查詢new window
2.Gurel, E.、Harris, L.(1986)。Price and Volume Effects Associated with Changes in the S&P 500 List: New evidence for the Existence of Price Pressure。The Journal of Finance,41(4),815-829。  new window
3.Copeland, Maggie M.、Copeland, Thomas E.(1999)。Market Timing: Style and Size Rotation Using the VIX。Financial Analysts Journal,55(2),73-81。  new window
4.Giot, P.(2005)。Relationships between implied volatility indexes and stock index returns: Are implied volatility indexes leading indicators?。Journal of Portfolio Management,31(3),92-100。  new window
5.Derman, E.、Kani, I.(1998)。Stochastic Implied Trees: Arbitrage Pricing with Stochastic term and Strike Structure of Volatility。International Journal of Theoretical and Applied Finance,1(1),61-110。  new window
6.Crouch, R. L.(1970)。A Nonlinear Test of the Random-walk Hypothesis。The American Economic Review,60(1),199-202。  new window
7.Hamid, Shaikh A.、Iqbal, Zahid(2004)。Using neural networks for forecasting volatility of S&P 500 Index futures prices。Journal of Business Research,57(10),1116-1125。  new window
8.Vasilellis, G. A.、Meade, N.(1996)。Forecasting Volatility for Portfolio Selection。Journal of Business Finance and Accounting,23,125-143。  new window
9.倪衍森、吳曼華、鄭亦妏(2005)。在Black-Scholes評價模型下台指選擇權最適波動性估計方法之研究。管理科學研究,第二卷第一期。new window  延伸查詢new window
10.Anthony, Joseph H.(1988)。The Interrelation of Stock and Options Market Trading-Volume Data。Journal of Finance,43(4),949-964。  new window
11.Brooks, C.(1998)。Prediciting Stock Index Volatility: Can Market Volume Help?。Journal of Forecasting,17,59-80。  new window
12.Lamoureux, C. G.、Lastrapes, W. D.(1993)。Forecasting Stock Return Variance: Understanding Stochastic Implied Volatility。Review of Financial Studies,6,293-326。  new window
13.Whaley, R. E.(1993)。Derivatives on Market Volatility: Hedging Tools Long Overdue。The Journal of Derivatives,1(1),71-84。  new window
14.Traub, H. D.、Ferreira, L.、Mcardle, M.、Antognelli, M.(2000)。Fear and Greed in Global Asset Allocation。Journal of Investing,9(1),27-31。  new window
15.Christensen, Bent J.、Prabhala, Nagpumanand R.(1998)。The Relation between Implied and Realized Volatility。Journal of Financial Economics,50(2),125-150。  new window
16.Fleming, Jeff(1998)。The Quality of Market Volatility Forecasts Implied by S&P 100 Index Option Prices。Journal of Empirical Finance,5(4),317-345。  new window
17.MacBeth, J. D.、Merville, L. J.(1979)。An Empirical Examination of the Black-Scholes Call Option Pricing Model。Journal of Finance,34(5),1173-1186。  new window
18.Park, Tae H.、Switzer, Lorne N.、Bedrossian, Robert(1999)。The interactions between trading volume and volatility: Evidence from the equity options markets。Applied Financial Economics,9(6),627-637。  new window
19.李存修、盧佳鈺、江木偉(20060100)。臺指選擇權隱含波動率指標之資訊內涵。證券市場發展季刊,17(4)=68,1-42。new window  延伸查詢new window
20.Karpoff, Jonathan M.(1987)。The Relation between Price Changes and Trading Volume: A Survey。Journal of Financial and Quantitative Analysis,22(1),109-126。  new window
21.Ying, C. C.(1966)。Stock market prices and volumes of sales。Econometrica: Journal of the Econometric Society,34(3),676-685。  new window
22.Whaley, R. E.(20000300)。The Investor Fear Gauge。Journal of Portfolio Management,26(3),12-17。  new window
23.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
24.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
25.Canina, Linda、Figlewski, Stephen(1993)。The informational Content of Implied Volatility。The Review of Financial Studies,6(3),659-681。  new window
26.Dumas, Bernard、Fleming, Jeff、Whaley, Robert E.(1998)。Implied Volatility Functions: Empirical Tests。Journal of Finance,53(6),2059-2106。  new window
27.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
28.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
29.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
30.Fabozzi, Frank J.、Francis, Jack C.(1979)。Mutual Fund Systematic Risk for Bull and Bear Markets: An Empirical Examination。Journal of Finance,34(5),1243-1250。  new window
31.李惠妍、吳宗正、溫敏杰(20060600)。迴歸模式與類神經網路在臺股指數期貨預測之研究。經營管理論叢,2(1),83-99。new window  延伸查詢new window
32.Said, S. E.、Dickey, David A.(1984)。Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order。Biometrika,71(3),599-607。  new window
33.Fama, Eugene F.(1970)。Efficient Capital Markets: A Review of Theory and Empirical Work。The Journal of Finance,25(2),383-417。  new window
34.Newey, Whitney K.、West, Kenneth D.(1987)。A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix。Econometrica,55(3),703-708。  new window
35.涂登才、杜玉振、卓必靖(2004)。「台指選擇權VIX指數編制及VIX指數基礎下避險策略之研究」。臺灣期貨與衍生性商品學刊,第二卷,88-107。new window  延伸查詢new window
36.Demeterfi, K., E. Derman, M. Kamal, J. Zou(1999)。“A Guide to Volatility and Variance Swaps”。Journal of Derivatives,vol.6,9-33。  new window
37.Giot, P.(2003)。“The Information Content of Implied Volatility Indexes for Forecasting Volatility and Market Risk”。Journal of Futures Markets,vol.23,441-454。  new window
38.Gonzáles M. F. N. Burgess(1997)。“Modeling Market Volatilities: the Neural Network Perspective”。European Journal of Finance,vol.3,137-157。  new window
39.Jorion, P.(1995)。Prediction Volatility in the Foreign Exchange Market。Journal of Finance,50,507-528。  new window
40.Mayhew, S.(1995)。“Implied Volatility”。Financial Analysts Journal,vol.50,8-20。  new window
41.Poon, S. H.、Granger, C. W. J.(2003)。“Forecasting Volatility in Financial Market: a Review”。Journal of Economic Literature,41,478-539。  new window
研究報告
1.Figlewski, S., X. Wang(2000)。Is the “Leverage Effect” a Leverage Effect?。  new window
 
 
 
 
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