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題名:The Asymmetric Relation between Time-Varying Risk Aversion and VIX Index
書刊名:期貨與選擇權學刊
作者:陳彥銘王耀輝
作者(外文):Chen, Yen-mingWang, Yaw-huei
出版日期:2017
卷期:10:3
頁次:頁45-84
主題關鍵詞:動態風險趨避程度不對稱關係VIXTime-varying risk aversionAsymmetric 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(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:0
  • 點閱點閱:9
期刊論文
1.Cohn, Richard A.、Lewellen, Wilbur G.、Lease, Ronald C.、Schlarbaum, Gary G.(1975)。Individual investor Risk Aversion and Investment Portfolio Composition。The Journal of Finance,30(2),605-620。  new window
2.Whaley, R. E.(2009)。Understanding the VIX。Journal of Portfolio Management,35(3),98-105。  new window
3.Friend, I.、Blume, M. E.(1975)。The Demand for Risky Assets。The American Economic Review,65(5),900-922。  new window
4.Rosenberg, J. V.、Engle, R. F.(2002)。Empirical Pricing Kernels。Journal of Financial Economics,64(3),341-372。  new window
5.Merton, R. C.(1980)。On Estimating the Expected Return on the Market: An Exploratory Investigation。Journal of Financial Economics,8(4),323-361。  new window
6.Bliss, Robert R.、Panigirtzoglou, Nikolaos(2004)。Option-implied risk aversion estimates。Journal of Finance,59(1),407-446。  new window
7.Whaley, R. E.(1993)。Derivatives on Market Volatility: Hedging Tools Long Overdue。The Journal of Derivatives,1(1),71-84。  new window
8.Bollerslev, T.、Zhou, H.(2006)。Volatility Puzzles: A Simple Framework for Gauging Return-Volatility Regressions。Journal of Econometrics,131(1/2),123-150。  new window
9.Aït-Sahalia, Y.、Lo, A. W.(2000)。Nonparametric Risk Management and Implied Risk Aversion。Journal of Econometrics,94(1/2),9-51。  new window
10.Jackwerth, J. C.(2000)。Recovering Risk Aversion from Option Prices and Realized Returns。Reviews of Financial Studies,13(2),433-451。  new window
11.Kim, S. W.、Lee, B. S.(2008)。Stock returns, asymmetric volatility, risk aversion, and business cycle: some new evidence。Economic Inquiry,46(2),131-148。  new window
12.Heston, Steven L.(1993)。A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options。Review of Financial Studies,6(2),327-343。  new window
13.Brandt, M.、Wang, K.(2003)。Time-Varying Risk Aversion and Unexpected Inflation。Journal of Monetary Economics,50(7),1457-1498。  new window
14.DeLisle, R. J.、Doran, J. S.、Peterson, D. R.(2011)。Asymmetric Pricing of Implied Systematic Volatility in the Cross Section of Expected Returns。Journal of Futures Markets,31(1),34-54。  new window
15.Gordon, S.、St-Amour, P.(2004)。Asset Returns and Statedependent Risk Preferences。Journal of Business and Economic Statistics,22(3),241-252。  new window
16.Siegel, F. W.、Hoban, J. P. Jr.(1982)。Relative Risk Aversion Revisited。The Review of Economics and Statistics,64(3),481-487。  new window
17.Nyberg, P.、Wilhelmsson, A.(2010)。Volatility Risk Premium, Risk Aversion and the Cross-Section of Stock Returns。Financial Review,45(4),1079-1100。  new window
18.Pratt, John W.(1964)。Risk Aversion in the Small and in the Large。Econometrica,32(1/2),122-136。  new window
19.Bollerslev, Tim、Gibson, Michael、Zhou, Hao(2011)。Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities。Journal of Econometrics,160(1),235-245。  new window
20.Bollerslev, Tim、Zhou, Hao(2002)。Estimating Stochastic Volatility Diffusion Using Conditional Moments of Integrated Volatility。Journal of Econometrics,109(1),33-65。  new window
21.Ang, Andrew、Hodrick, Robert J.、Xing, Yuhang、Zhang, Xiaoyan(2006)。The Cross-section of Volatility and Expected Returns。The Journal of Finance,61(1),259-299。  new window
圖書
1.Arrow, K. J.(1971)。Aspects of the Theory of Risk Bearing。Chicago:Markham。  new window
 
 
 
 
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