期刊論文1. | 林筠、傅鍾仁(19930400)。我國進口油價風險管理之研究--原油期貨交叉避險。證券市場發展,18,42-56。 延伸查詢 |
2. | 邱哲修、林卓民、洪瑞成、徐明傑(2005)。價格不連續下的最適避險策略--ARJI模型之應用。計量管理期刊,1(2),189-206。 延伸查詢 |
3. | 高峰、洪瑞成、姜世杰、李命志(20050600)。價格跳躍下的最適避險策略--日經225指數現貨與期貨。華岡經濟論叢,4(2),65-90。 延伸查詢 |
4. | Benet, B. A.(1992)。Hedge Period Length and Ex-ante Futures Hedging Effectiveness: The Case of Foreign-Exchange Risk Cross Hedges。Journal of Futures Markets,12(2),163-175。 |
5. | Chan、Young(2006)。Jumping Hedges: An Examination of Movements in Copper Spot and Futures Market。Journal of Futures Markets,26(2),169-188。 |
6. | Chiu(2005)。Hedging with Floor-Traded and E-mini Stock Index Futures。Quarterly Journal of Business and Economics,44(3/4),49-68。 |
7. | Gagnon, L.、Lypny, G.(1997)。The benefits of dynamically hedging the Toronto 35 stock index。Canadian Journal of Administrative Sciences,14(1),69-78。 |
8. | Jones, Charles M.、Kaul, Gautam(1996)。Oil and the Stock Markets。Journal of Finance,51(2),463-491。 |
9. | 李命志、邱哲修、黃景明、陳君達(20030900)。臺灣股價指數期貨最適避險策略之研究。企業管理學報,58,85-104。 延伸查詢 |
10. | Bates, D. S.(1991)。The Crash of '87: Was it Expected? The Evidence from the Options Markets。The Journal of Finance,46(3),1009-1044。 |
11. | Fortune, P.(1999)。Are stock returns different over weekends?A jump diffusion analysis of the weekend effect。New England Economic Review,September/October,3-19。 |
12. | Chan, W. H.、Maheu, J. M.(2002)。Conditional Jump Dynamics in Stock Market Returns。Journal of Business and Economic Statistics,20(3),377-389。 |
13. | Baillie, R. T.、Myers, R. J.(1991)。Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge。Journal of Applied Econometrics,6(2),109-124。 |
14. | Lindahl, M.(1992)。Minimum Variance Hedge Ratios for Stock Index Futures: Duration and Expiration Effects。The Journal of Futures Markets,12(1),33-53。 |
15. | Ederington, L. H.(1979)。The Hedging Performance of the New Future Markets。The Journal of Finance,34(1),157-170。 |
16. | Engle, R. F.(1982)。Autoregressive Conditional Heteroske- dasticity with Estimates of the Variance of U.K. Inflation。Econometrica,50(4),987-1008。 |
17. | Park, T. H.、Switzer, L. N.(1995)。Bivariate GARCH Estimation of the Optimal Hedge Ratios for Stock Index Future: A Note。Journal of Futures Markets,15,61-67。 |
18. | Lien, D. H. D.、Tse, Y. K.(1999)。Fractional Cointegration and Futures Hedging。Journal of Futures Markets,19(4),457-474。 |
19. | Markowitz, Harry M.(1952)。Portfolio Selection。The Journal of Finance,7(1),77-91。 |
20. | Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。 |
21. | Bollerslev, Tim(1987)。A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return。The Review of Economics and Statistics,69(3),542-547。 |
22. | 余尚武、賴昌作(20010100)。股價指數期貨之避險比率與避險效益。管理研究學報,1(1),1-31。 延伸查詢 |
23. | 邱建良、魏志良、吳佩珊、邱哲修(20040600)。TAIFEX與MSCI臺股指數期貨與現貨直接避險策略之研究。商管科技季刊,5(2),169-184。 延伸查詢 |
24. | Figlewski, Stephen(1984)。Hedging Performance and Basis Risk in Stock Index Futures。Journal of Finance,39(3),657-669。 |
25. | Johnson, Leland L.(1960)。The Theory of Hedging and Speculation in Commodity Futures。The Review of Economic Studies,27(3),139-151。 |
26. | Koutmos, G.、Pericli, A.(1999)。Hedging GNMA Mortgage-Backed Securities with T-Note Futures: Dynamic versus Static Hedging。Real Estate Economics,27(2),335-363。 |
27. | Kroner, Kenneth F.、Sultan, Jahangir(1993)。Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures。Journal of Financial and Quantitative Analysis,28(4),535-551。 |
28. | 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。 |
29. | Stein, Jerome L.(1961)。The Simultaneous Determination of Spot and Futures Prices。American Economic Review,51(5),1012-1025。 |
30. | Fong, W. M.、See, K. H.(2002)。A markov switching model of the conditional volatility of crude oil futures prices。Energy Economics,24,71-95。 |