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題名:S&P500指數期現貨與NASDAQ指數期貨之關聯性:ARJI VEC GJR-GARCH Model
書刊名:臺灣銀行季刊
作者:劉祥熹 引用關係林煜城
出版日期:2019
卷期:70:1
頁次:頁97-123
主題關鍵詞:跳躍強度跳躍大小避險比率避險績效ARJIVEC GJR-GARCH
原始連結:連回原系統網址new window
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  • 點閱點閱:5
期刊論文
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4.Maheu, John M.、Mccurdy, Thomas H.(2004)。News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns。Journal of Finance,59(2),755-793。  new window
5.Berndt, Ernst R.、Hall, Bronwyn H.、Hall, Robert E.、Hausman, Jerry A.(1974)。Estimation and Inference in Nonlinear Structural Models。Annals of Economic and Social Measurement,3(4),653-665。  new window
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7.Lochstoer, Lars A.、Craine, Roger、Syrtveit, Knut(2000)。Estimation of a Stochastic Volatility Jump Diffusion Model。Revista de análisis económico,15(1),61-87。  new window
8.Das, S. R.(2002)。The surprise element: jumps in interest rate。Journal of Econometrics,106,27-65。  new window
9.Eraker, Bjorn(2004)。Do stock prices and volatility jump? Reconciling evidence from spot and option prices。Journal of Finance,59,1367-1404。  new window
10.Kaeck, A.、Alexander, C.(2012)。Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions。Journal of Banking & Finance,36(11),3110-3121。  new window
11.Bertus, M.、Godbey, J.、Hilliard, J. E.(2009)。Minimum variance cross hedging under mean‐reverting spreads, stochastic convenience yields, and jumps: Application to the airline industry。Journal of Futures Markets,29,736-756。  new window
12.Chan, W. H.、Young, D.(2006)。Jumping Hedges: An Examination of Movements in Copper Spot and Futures Markets。The Journal of Futures Markets,26,169-188。  new window
13.Cheang, G. H.、Chiarella, C.、Ziogas, A.(2013)。The Representation of American Options Prices under Stochastic Volatility and Jump-Diffusion Dynamics。Quantitative Finance,13,241-253。  new window
14.Creel, M.、Kristensen, D.(2015)。ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models。Journal of Empirical Finance,31,85-108。  new window
15.Fan, C.、Luo, X.、Wu, Q.(2017)。Stochastic Volatility vs. Jump Diffusions: Evidence from the Chinese Convertible Bond Market。International Review of Economics and Finance,49,1-16。  new window
16.Fortune, P.(1999)。Are Stock Returns Different Over Weekends? A Jump Diffusion Analysis of the Weekend Effect。New England Economic Review,10,3-19。  new window
17.Liu, Q.、Chng, M. T.、Xu, D.(2014)。Hedging Industrial Metals with Stochastic Volatility Models。Journal of Futures Markets,34,704-730。  new window
18.Todorov, V.(2009)。Estimation of Continuous-Time Stochastic Volatility Models with Jumps Using High-Frequency Data。Journal of Econometrics,148,131-148。  new window
19.Ulyah, S. M.、Lin, X. C. S.、Miao, D. W. C.(2018)。Pricing Short-Dated Foreign Equity Options with a Bivariate Jump-Diffusion Model with Correlated Fat-Tailed Jumps。Finance Research Letters,24,113-128。  new window
20.Engle, Robert F.、Ng, Victor K.(1993)。Measuring and testing the impact of news on volatility。The Journal of Finance,48(5),1749-1778。  new window
21.Markowitz, Harry M.(1952)。Portfolio Selection。The Journal of Finance,7(1),77-91。  new window
22.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
23.Ederington, Louis H.(1979)。The Hedging Performance of the New Futures Markets。Journal of Finance,34(1),157-170。  new window
24.Johnson, Leland L.(1960)。The Theory of Hedging and Speculation in Commodity Futures。The Review of Economic Studies,27(3),139-151。  new window
25.Stein, Jerome L.(1961)。The Simultaneous Determination of Spot and Futures Prices。American Economic Review,51(5),1012-1025。  new window
26.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
27.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。  new window
28.Bates, D. S.(1991)。The Crash of '87: Was it Expected?The Evidence From the Option Markets。Journal of Finance,46,1009-1044。  new window
 
 
 
 
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