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題名:波動性預測與臺指選擇權隱含波動性的資訊內容
書刊名:臺灣期貨與衍生性商品學刊
作者:程言信 引用關係呂惠琪
出版日期:2009
卷期:9
頁次:頁36-75
主題關鍵詞:臺指選擇權隱含波動率臺指選擇權波動率指數波動率預測交易量
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 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:0
  • 共同引用共同引用:13
  • 點閱點閱:43
期刊論文
1.Bcckcr, R、Clements,A.K、White S.I.(2006)。On the Information Eriiciency of S&P 500 Implied VolatilityNorth。American Journal of Economics and Finance,17,139-153。  new window
2.Bcckc, R、Clements,A.K、White,S(2007)。ocs Implied Volatility Provide Any Information beyond that Captured in Model-Based Volatility Forecasts?。Journal of Banking and Finance,31,253-549。  new window
3.Bessembinder,H、Seguin,P(1992)。'Tutuies-Trading Activity and Stock Pricc Volatility,’Vo wrm?。of Finance,47,2015-2034。  new window
4.Black,F、Scholcs,M(1973)。He Pricing of Options and Corporate Liabilities。Journal of Political Economy,3,637-659。  new window
5.Blai, B、PoonMS-H、Taylor,S.J(2001)。“Forecasting S&P 100 Volatility: I be Incremental Information Content of Implied Volatilities and High Frequency Index Returns。Journal ofEconomeirics,105,5-26。  new window
6.Corrado, CJ、Miller, l W(2005)。The Forecast Quality of CBOH Implied Volatility Indexes。The Journal of Futures Markets,25,339-373。  new window
7.Engle, R.(1982)。uAutoregressive Conditional Heteroscedasticitv with Estimates of the Variance of UK Inflation。Economeirica,50,987-1008。  new window
8.Fung, Joseph ICW.(2007)。The Iniormalion Content of Option Implied Volatility Surrounding the 1997 Hong Kong Stock Market Crash。Journal of Futures Markets,27,555-574。  new window
9.Gio P、Laurent S(2007)。The Inloimalion Content oflmplied Volatility in Light of the Jimip/Continuous Decomposition of Realized。Journal of Futures Markets,27,337-359。  new window
10.Lalane, H、Rendlemaaa,R(1976)。Standard Deviation of Stock Price Ratios Implied in Option Prices。Journal of Finance,31,369-382。  new window
11.Shu, J、Zhang,J.E(2003)。The Relationship between Implied and Realized Volatility of S&P 500 Index。Wilmoii Magazine,1,83-91。  new window
12.Fair, R. C.、Shiller, R. J.(1990)。Comparing Information in Forecasts from Econometric Models。American Economic Review,80(3),375-389。  new window
13.Ni, S. X.、Pan, J.、Poteshman, A. M.(2008)。Volatility information trading in the option market。Journal of Finance,63,1059-1091。  new window
14.Gwilym, O.、Buckle, M.(1999)。Volatility forecasting in the framework of the option expiry cycle。The European Journal of Finance,5(1),73-94。  new window
15.Cornell, B.(1981)。The Relationship between Volume and Price Variability in Futures Markcts。journal of Futures Markets,1,303-316。  new window
16.Harvey, C. R.、Whaley, R. E.(1991)。S&P 100 Index Option Volatility。The Journal of Finance,46(4),1551-1561。  new window
17.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
18.Chu, S. H.、Freund, S.(1996)。Volatility Estimation for Stock Index Option: A GARCH Approach。Quarterly Review of Economics and Finance,36,431-450。  new window
19.Anthony, J. H.(1988)。The Interrelation of Stock and Option Market Trading-Volume Data。Journal of Finance,43,949-964。  new window
20.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
21.Carr, P.、Wu, L.(2006)。A Tale of Two Indices。The Journal of Derivatives,13(3),13-29。  new window
22.Christensen, Bent J.、Prabhala, Nagpumanand R.(1998)。The Relation between Implied and Realized Volatility。Journal of Financial Economics,50(2),125-150。  new window
23.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
24.Jorion, P.(1995)。Predicting Volatility in the Foreign Exchange Market。Journal of Finance,50(2),507-528。  new window
25.莊益源、張鐘霖、王祝三(20030600)。波動率模型預測能力的比較--以臺指選擇權為例。臺灣金融財務季刊,4(2),41-63。new window  延伸查詢new window
26.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
27.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
28.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
29.Hansen, Lars Peter(1982)。Large Sample Properties of Generalized Method of Moments Estimators。Econometrica: Journal of the Econometric Society,50(4),1029-1054。  new window
30.Canina, Linda、Figlewski, Stephen(1993)。The informational Content of Implied Volatility。The Review of Financial Studies,6(3),659-681。  new window
31.Akgiray, Vedat(1989)。Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts。The Journal of Business,62(1),55-80。  new window
32.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
33.Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society,59(2),347-370。  new window
34.Poon, S. H.、Granger, C. W. J.(2003)。“Forecasting Volatility in Financial Market: a Review”。Journal of Economic Literature,41,478-539。  new window
圖書論文
1.Demeterii, K E、Derman,M Kanial、Zou,J(1999)。More than You Ever Wanted to Know about Volatility Swap。Qimntiiaiive Strategies Research Notes。Goldman Sachs。  new window
 
 
 
 
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