期刊論文1. | Duan, Jin-Chuan(1997)。Augmented GARCH (p,q) process and its diffusion limit。Journal of Econometrics,79(1),97-127。 |
2. | West, K. D.、Cho, D.(1995)。The Predictive Ability of Several Models of Exchange Rate Volatility。Journal of Econometrics,69(2),367-391。 |
3. | Engle, R. F.(1990)。Discussion: Stock Market Volatility and The Crash of 87。Review of Financial Studies,3,109-106。 |
4. | Hentschel, L.(1995)。All in the Family Nesting Symmetric and Asymmetric GARCH Models。Journal of Financial Economics,39(1),71-104。 |
5. | Chou, R.Y.(2005)。Forecasting Financial Volatilities with Extreme Value: the Conditional Autoregressive Range Model。Journal of Money, Credit and Banking,37(3),561-582。 |
6. | 周雨田、李志宏、巫春洲(20020800)。臺灣期貨對現貨市場的資訊傳遞效果分析。財務金融學刊,10(2),1-22。 延伸查詢 |
7. | 周雨田、巫春洲、劉炳麟(20040400)。動態波動模型預測能力之比較與實證。財務金融學刊,12(1),1-25。 延伸查詢 |
8. | Schwert, G. William(1990)。Stock Volatility and the Crash of '87。Review of Financial Studies,3(1),77-102。 |
9. | Fama, E. F.(1965)。The behavior of stock market prices。Journal of Business,38(1),34-105。 |
10. | Schwert, G. William(1989)。Why Does Stock Market Volatility Change Over Time?。Journal of Finance,44(5),1115-1153。 |
11. | Pagan, Adrian R.、Schwert, G. William(1990)。Alternative Models for Conditional Stock Volatility。Journal of Econometrics,45(1/2),264-290。 |
12. | Engle, Robert F.、Ng, Victor K.(1993)。Measuring and testing the impact of news on volatility。The Journal of Finance,48(5),1749-1778。 |
13. | Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。 |
14. | Andersen, Torben Gustav、Bollerslev, Tim(1998)。Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts。International Economic Review,39(4),885-905。 |
15. | Andersen, Torben G.、Bollerslev, Tim、Diebold, Francis X.、Ebens, Heiko(2001)。The Distribution of Realised Stock Return Volatility。Journal of Financial Economics,61(1),43-76。 |
16. | Alizadeh, Sassan、Brandt, Michael W.、Diebold, Francis X.(2002)。Range-based Estimation of Stochastic Volatility Models。The Journal of Finance,57(3),1047-1091。 |
17. | Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。 |
18. | Parkinson, Michael(1980)。The extreme value method for estimating the variance of the rate of return。Journal of Business,53(1),61-65。 |
19. | Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society,59(2),347-370。 |
20. | 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。 |
21. | Mandelbrot, Benoit B.(1963)。The Variation of Certain Speculative Prices。The Journal of Business,36(4),394-419。 |
22. | French, K. R.、Schwert, G. W.、Stambaugh, R. F.(1987)。Expected Stock Return and Volatility。Journal of Financial Economics,19,3-29。 |
23. | Duan, J. C.、Simonato, J. G.(2001)。American Option Pricing under GARCH by a Markov Chain Approximation。Journal of Economic Dynamics and Control,25,1689-1718。 |
24. | Ritchken, P.、Trevor, R.(1999)。Pricing Options under Generalized GARCH and Stochastic Volatility Process。Journal of Finance,54,337-402。 |
25. | Engle, R. F.、Lilien, D. M.、Robins, R. P.(1987)。Estimation Time Varying Risk Premia in the Term Stucture: The ARCH-M Model。Econometrica,55(2),391-407。 |