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題名:Taiwan Index Options, Implied Volatility and Nonlinear Panel Unit Root Test
書刊名:臺灣金融財務季刊
作者:李瑞琳 引用關係
作者(外文):Lee, Nicholas Ruei-lin
出版日期:2012
卷期:13:3
頁次:頁93-111
主題關鍵詞:隱含波動非線性追蹤資料單根檢定均數復歸Implied volatilityNonlinear panel unit root testMean-reverting
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:0
  • 點閱點閱:55
期刊論文
1.Chakravarty, S.、Gulen, H.、Mayhew, S.(2004)。Informed Trading in Stock and Option Markets。Journal of Finance,59(3),1235-1257。  new window
2.Szakmary, A.、Ors, E.、Kim, J. K.、Davidson, W. N. III(2003)。The Predictive Power of Implied Volatility: Evidence from 35 Futures Markets。Journal of Banking and Finance,27(11),2151-2175。  new window
3.Yu, W. W.、Lui, E. C.、Wang, J. W.(2010)。The predictive power of the implied volatility of options traded OTC and on exchanges。Journal of Banking and Finance,34,1-11。  new window
4.Chan, K. C.、Chang, Y.、Lung, P. P.(2009)。Informed trading under different market conditions and moneyness: Evidence from TXO options。Pacific-Basin Finance Journal,17(2),189-208。  new window
5.Nam, Kiseok、Pyun, Chong S.、Avard, Stephen L.(2001)。Asymmetric Reverting Behavior of Short-horizon Stock returns: An Evidence of Stock Market Overreaction。Journal of Banking & Finance,25(4),807-824。  new window
6.Christensen, Bent J.、Prabhala, Nagpumanand R.(1998)。The Relation between Implied and Realized Volatility。Journal of Financial Economics,50(2),125-150。  new window
7.Engström, M.(2002)。Do Swedes Smile? On Implied Volatility Functions。Journal of Multinational Financial Management,12(4/5),285-304。  new window
8.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
9.Narayan, P. K.、Smyth, R.(2007)。Mean Reversion versus Random Walk in G7 Stock Prices Evidence from Multiple Trend Break Unit Root Tests。Journal of International Financial Markets, Institutions and Money,17(2),152-166。  new window
10.Fama, Eugene F.、French, Kenneth R.(1988)。Permanent and Temporary Components of Stock Prices。Journal of Political Economy,96(2),246-273。  new window
11.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
12.Canina, Linda、Figlewski, Stephen(1993)。The informational Content of Implied Volatility。The Review of Financial Studies,6(3),659-681。  new window
13.Stein, Jeremy(1989)。Overreactions in the Options Market。Journal of Finance,44(4),1011-1023。  new window
14.Dumas, Bernard、Fleming, Jeff、Whaley, Robert E.(1998)。Implied Volatility Functions: Empirical Tests。Journal of Finance,53(6),2059-2106。  new window
15.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
16.Kapetanios, George、Shin, Yongcheol、Snell, Andy(2003)。Testing for a unit root in the nonlinear STAR framework。Journal of Econometrics,112(2),359-379。  new window
17.Im, Kyung So、Pesaran, M. Hashem、Shin, Yongcheol(2003)。Testing for Unit Roots in Heterogeneous Panels。Journal of Econometrics,115(1),53-74。  new window
18.Wu, Yangru、Balvers, Ronald、Gilliland, Erik(2000)。Mean Reversion across National Stock Markets and Parametric Contrarian Investment Strategies。The Journal of Finance,55(2),745-772。  new window
19.Cox, John C.、Ross, Stephen A.、Rubinstein, Mark(1979)。Option Pricing: A Simplified Approach。Journal of Financial Economics,7(3),229-263。  new window
20.Kim, C. J.、Nelson, C. R.、Startz, R.(1998)。Testing for Mean Reversion in Heteroskedastic Data Based on Gibbs-Sampling-Augmented Randomization。Journal of Empirical Finance,5(2),131-145。  new window
其他
1.Levin, A.,Lin, C. F.(1992)。Unit-root test in panel data: asymptotic and finite sample properties,University of California at San Diego。  new window
2.Levin, A.,Lin, C. F.(1993)。Unit root test in panel data: New results,University of California at San Diego。  new window
3.Bali, T. G., K. O. Demirtas and H. Levy(2008)。Nonlinear Mean Reversion in Stock Prices。  new window
4.Borovkova, S. and F. J. Permana(2009)。Implied Volatility in Oil Markets。  new window
5.Breuer, J. B., R. McNown and M. Wallace(2002)。Series-Specific Unit Root Tests with Panel Data。  new window
6.Chaudhuri, K. and Y. Wu(2003)。Random walk versus breaking trend in stock prices: Evidence from emerging markets,。  new window
7.Choi, I. and T. K. Chue(2007)。Subsampling hypothesis tests for nonstationary panels with applications to exchange rates and stock prices,。  new window
8.Chortareas, G. and G. Kapetanios(2004)。The Yen Real Exchange Rate May Be Stationary After All: Evidence from Nonlinear Unit-Root Tests,。  new window
9.Chortareas, G., G. Kapetanios and Y. Shin(2002)。Nonlinear mean reversion in real exchange rates,。  new window
10.De Jong, C., K. C. G. Koedijk and C. R. Schnitzlein(2001)。Stock Market Quality in the Presence of a Traded Option。  new window
11.Ederington, L. H., and W. Guan(2005)。The Information frown in option prices,。  new window
12.Kaul, G., M. Nimalendran and D. Zhang(2002)。Informed Trading and Option Spreads,。  new window
13.Kim, C. J., C. R. Nelson and R. Startz(1991)。Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence,。  new window
14.Lamoureux, C. G. and W. Lastrapes(1993)。Forecasting Stock Return Variance: Towards Understanding Stochastic Implied Volatility,。  new window
15.Li, S. and Q. Yang(2009)。The relationship between implied and realized volatility: Evidence from the Australian stock index option market,。  new window
16.Liew, V. K. -S., A. Z. Baharumshah and T. T. -L. Chong(2004)。Are Asian Real Exchange Rates Stationary?。  new window
17.Lu, Y. C., T. Y. Chang, K. Hung and W. C. Liu(2010)。Mean reversion in G-7 stock prices: Further evidence from a panel stationary test with multiple structural breaks。  new window
18.Merville, L. and D. Piptea(1989)。Stock-price volatility, mean-reverting diffusion, and noise。  new window
19.Nam, K., C. S. Pyun and A. C. Arize(2002)。Asymmetric mean-reversion and contrarian profits: ANST-GARCH approach,。  new window
20.Nam, K., C. S. Pyun and S. W. Kim(2003)。Is asymmetric mean-reverting pattern in stock returns systematic? Evidence from Pacific-basin markets in the short-horizon,。  new window
21.Neely, C. J.(2009)。Forecasting Foreign Exchange Volatility: Why Is Implied Volatility Biased and Inefficient? And Does It Matter?。  new window
22.Taylor, A.(2001)。Potential Pitfalls for the Purchasing Power Parity Puzzle? Sampling and Specification Biases in Mean-Reversion Tests of the Law of One Price,。  new window
23.Taylor, M. P., D. A. Peel and L. Sarno(2001)。Nonlinear Mean Reversion in Real Exchange Rates: Towards a Solution to the Purchasing Power Puzzles,。  new window
24.Wagner, N. and A. Szimayer(2004)。Local and Spillover Shocks in Implied Market Volatility: Evidence for the U.S. and Germany,。  new window
25.Wang, A. T.(2007)。Does Implied Volatility of Currency Futures Option Imply Volatility of Exchange Rates?。  new window
26.Wu, J. L. and H. Y. Lee(2009)。A Revisit to the Nonlinear Mean Reversion of Real Exchange Rates: Evidence from a Series-Specific Nonlinear Panel Unit Root Test,。  new window
 
 
 
 
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