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題名:臺指選擇權市場最適波動度指標之研究
書刊名:風險管理學報
作者:羅庚辛 引用關係藍宇文張尚原
作者(外文):Lo, Keng HsinLan, Yu WenChang, Shan Yuan
出版日期:2007
卷期:9:2
頁次:頁123-147
主題關鍵詞:波動度指標不對稱關係Volatility indexAsymmetric 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(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:6
  • 點閱點閱:21
期刊論文
1.李命志、趙其琳(20010600)。波動性預測能力比較--臺灣認購權證之實證研究。臺灣銀行季刊,52(2),101-127。new window  延伸查詢new window
2.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
3.Day, T. E.、Lewis, C. M.(1988)。The Behavior of the Volatility Implicit in the Price of Stock Index Option。Journal of Finance Economics,22(1),103-122。  new window
4.Giot, P.(2003)。The Information Content of Implied Volatility Indexes for Forecasting Volatility and Market Risk。Journal of Futures Markets,23(5),441-454。  new window
5.Giot, P.(2005)。Relationships between Implied Volatility Indexes and Stock Index Returns。Journal of Portfolio Management,31(3),92-100。  new window
6.Harvey, C. R.、Whaley, R. E.(1991)。S&P100 Index Option Volatility。The Journal of Finance,46(4),1551-1561。  new window
7.Latane, H. A.、Rendleman, R. J.(1976)。Standard Deviation of Stock Price Ratios Implied in Option Prices。The Journal of Finance,31(2),369-381。  new window
8.Poon, S. H.、Granger, W. J. C.(2003)。Forecasting Volatility in Financial Market: A Review。Journal of Economic Literature,41(2),478-539。  new window
9.Vasilellis, G. A.、Meade, N.(1996)。Forecasting Volatility for Portfolio Selection。Journal of Business Finance and Accounting,23,125-143。  new window
10.Lamoureux, Christopher G.、Lastrapes, William D.(1993)。Forecasting Stock-return Variance: Toward an Understanding of Stochastic Implied Volatilities。The Review of Financial Studies,6(2),293-326。  new window
11.Chu, S. H.、Freund, S.(1996)。Volatility Estimation for Stock Index Option: GARCH Approach。The Quarterly Review of Economics and Finance,36(4),431-450。  new window
12.Beckers, S.(1981)。Standard Deviations Implied in Option Prices as Predictors of Future Stock Price Variability。Journal of Banking and Finance,5(3),363-382。  new window
13.Schmalensee, R.、Trippi, R. R.(1978)。Common Stock Volatility Expectation by Option Premia。The Journal of Finance,33(1),129-147。  new window
14.Gwilym, O. A.(2001)。Forecasting Volatility for Options Pricing for the U.K. Stock Market。Journal of Financial Management and Analysis,14(2),55-62。  new window
15.Mayhew, S.、Stivers, C.(2003)。Stock Return Dynamics, Option Volume, and the Information Content of Implied Volatility。The Journal of Futures Markets,23(7),615-646。  new window
16.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
17.Christensen, Bent J.、Prabhala, Nagpumanand R.(1998)。The Relation between Implied and Realized Volatility。Journal of Financial Economics,50(2),125-150。  new window
18.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
19.Whaley, R. E.(20000300)。The Investor Fear Gauge。Journal of Portfolio Management,26(3),12-17。  new window
20.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
21.Schwert, G. William(1989)。Why Does Stock Market Volatility Change Over Time?。Journal of Finance,44(5),1115-1153。  new window
22.Canina, Linda、Figlewski, Stephen(1993)。The informational Content of Implied Volatility。The Review of Financial Studies,6(3),659-681。  new window
23.Merton, Robert C.(1973)。Theory of Rational Option Pricing。Bell Journal of Economics and Management Science,4(1),141-183。  new window
24.Dumas, Bernard、Fleming, Jeff、Whaley, Robert E.(1998)。Implied Volatility Functions: Empirical Tests。Journal of Finance,53(6),2059-2106。  new window
25.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
26.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
27.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。  new window
28.Granger, Clive William John、Newbold, Paul(1974)。Spurious Regressions in Econometrics。Journal of econometrics,2(2),111-120。  new window
29.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
圖書
1.Figlewski, S.、Wang, X.(2000)。Is the Leverage Effect a Leverage Effect?。New York University, Stern School of Business。  new window
單篇論文
1.Fleming, J.(1991)。The Rationality of Market Volatility Forecasts Implied by S&P100 Index Options,Duke University。  new window
 
 
 
 
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