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2. | 李命志、洪瑞成、劉洪鈞(20070500)。厚尾GARCH模型之波動性預測能力比較。輔仁管理評論,14(2),47-71。 延伸查詢![new window](/gs32/images/newin.png) |
3. | 蔡麗茹、葉銀華(20000300)。不對稱GARCH族模型預測能力之比較研究。輔仁管理評論,7(1),183-196。 延伸查詢![new window](/gs32/images/newin.png) |
4. | Heynen, R. C.、Kat, H. M.(1994)。Volatility Prediction: A Comparison of the Stochastic Volatility, GARCH (1,1) and EGARCH (1,1) Models。Journal of Derivatives,2(2),50-65。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
5. | 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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
6. | Sentana, Enrique(1995)。Quadratic ARCH Models。The Review of Economic Studies,62(4),639-661。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
7. | Andersen, Torben Gustav、Bollerslev, Tim(1998)。Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts。International Economic Review,39(4),885-905。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
8. | Bollerslev, Tim、Wooldridge, Jeffrey M.(1992)。Quasi Maximum Likelihood Estimation and Inference in Dynamic Models with Time Varying Covariances。Econometric Reviews,11(2),143-172。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
9. | Politis, Dimitris N.(2004)。A Heavy-Tailed Distribution for ARCH Residuals with Application to Volatility Prediction。Annals of Economics and Finance,5(2),283-298。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
10. | Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
11. | Parkinson, Michael(1980)。The extreme value method for estimating the variance of the rate of return。Journal of Business,53(1),61-65。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
12. | Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society,59(2),347-370。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
13. | Theodossiou, P.(1998)。Financial data and the skewed generalized T distribution。Management Science,44(12, Part 1),1650-1661。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
14. | Rogers, L. C. G.、Satchell, S. E.(1991)。Estimating variance from high, low and closing prices。The annals of applied probability,1(4),504-512。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
15. | Glosten, Lawrence R.、Jagannathan, Ravi、Runkle, David E.(1993)。On the Relation Between the Expected Value and the Volatility on the Nominal Excess Returns on Stocks。Journal of Finance,48(5),1779-1801。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
16. | Franses, P. H.、Dijk, D.V.(1996)。Forecasting stock market volatility using (non-iinear) GARCH models。Journal of Forecastings,15,229-235。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
17. | Liu, H. C.、Lee, Y. H.、Lee, M.C.(2009)。Forecasting china stock markets volatility via GARCH models under skewed-GED distribution。Journal of Money,7,5-15。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
18. | McMillan, D.G.、Speight, A. E. H.(2004)。Daily volatility forecasts : Reassessing the performance of GARCH models。Journal of Forecasting,23,449-460。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) |
學位論文1. | 呂文正(1999)。股票報酬率之波動性研究--arch-family、swarch模型之應用(碩士論文)。國立臺灣大學。 延伸查詢![new window](/gs32/images/newin.png) |
2. | 黃弘文(1998)。股價指數期貨上市對指數波動性之研究--以香港恆生指數為例(碩士論文)。國立中興大學。 延伸查詢![new window](/gs32/images/newin.png) |
3. | 吳佳貞(1998)。波動度預測模型之探討(碩士論文)。國立政治大學。 延伸查詢![new window](/gs32/images/newin.png) |
4. | 陳煒朋(1999)。GARCH模型與隱含波動性模型預測能力之比較(碩士論文)。淡江大學。 延伸查詢![new window](/gs32/images/newin.png) |
5. | 侯東平(2002)。資產波動的預測能力比較(碩士論文)。國立臺灣大學。 延伸查詢![new window](/gs32/images/newin.png) |
6. | 林秀蓉(2007)。股價波動性預測。淡江大學。 延伸查詢![new window](/gs32/images/newin.png) |
7. | 鄭力維(2007)。波動性的預測與評估。暨南國際大學。 延伸查詢![new window](/gs32/images/newin.png) |
8. | 王豊文(2009)。波動不對稱設定與條件分配對預測台股波動率之研究。淡江大學。 延伸查詢![new window](/gs32/images/newin.png) |
9. | 張瑞杰(2009)。變幅波動與GARCH模型之波動預測績效比較--台灣加權股價指數之實證。淡江大學。 延伸查詢![new window](/gs32/images/newin.png) |