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題名:亞洲主要股價指數價格非連續跳躍與自我相關條件異質變異之實證研究
書刊名:國立虎尾科技大學學報
作者:戴世文郭美美
作者(外文):Tai, Shih-wenKuo, Mei-mei
出版日期:2012
卷期:30:4
頁次:頁39-48
主題關鍵詞:股價指數擴散模型跳躍-擴散模型一般化自我相關條件異質變異模型GARCH模型GARCH-Jump模型Stock market indexDiffusion modelJump-diffusion modelGeneralized autoregressive conditional heteroskedasticity modelGARCH modelGARCH-jump model
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:2
  • 點閱點閱:43
期刊論文
1.Duan, J. C.(1995)。The GARCH option pricing model。Mathematical Finance,5(1),13-32。  new window
2.Bates, D. S.(1996)。Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options。The Review of Financial Studies,9(1),69-107。  new window
3.李彥賢、姜淑美、邱建良(20060100)。亞洲金融風暴對臺灣股匯市影響:跳躍-擴散模型應用。朝陽商管評論,5(1),1-22。new window  延伸查詢new window
4.Engle, R. F.(1982)。Autoregressive Conditional Heteroske- dasticity with Estimates of the Variance of U.K. Inflation。Econometrica,50(4),987-1008。  new window
5.Schwarz, Gideon(1978)。Estimating the Dimension of a model。The Annals of Statistics,6(2),461-464。  new window
6.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
7.Lin, Bing-Huei、Yeh, Shih-Kuo(2000)。On the Distribution and Conditional Heteroscedasticity in Taiwan Stock Prices。Journal of Multinational Financial Management,10(3/4),367-395。  new window
8.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。  new window
9.Mandelbrot, Benoit(1963)。New Method in Statistical Economics。Journal of Political Economy,71(5),421-440。  new window
10.Heston, Steven L.(1993)。A Closed-form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options。The Review of Financial Studies,6(2),327-343。  new window
11.Mandelbrot, Benoit(1967)。The Variation of Some Other Speculative Prices。The Journal of Business,40,393-413。  new window
12.Jorion, P.(1988)。On Jump Processes in the Foreign Exchange and Stock Markets。The Review of Financial Studies,1(4),427-445。  new window
13.Duan, J.-C.、Ritchken, P.、Sun, Z.(2006)。Approximating GARCH-jump Models, Jump-diffusion Processes, and Option Pricing。Mathematical Finance,16(1),21-52。  new window
14.Merton, R. C.(1976)。Option Pricing when Underlying Stock Returns are Discontinuous。Journal of Financial Economics,3(1/2),125-144。  new window
15.Pan, J.(2002)。The Jump-Risk Premia Implicit in Options--Evidence from an Integrated Time-Series Study。Journal of Financial Economics,63(1),3-50。  new window
16.Fama, E. F.(1965)。The Behavior of Stock Market Price。Journal of Business,38(1),34-105。  new window
17.Eraker, B.、Johannes, M.、Polson, N.(2003)。The Impact of Jumps in Volatility and Returns。Journal of Finance,58(3),1269-1300。  new window
18.Bates, D.(2000)。Post-'87 Crash Fears in S&P 500 Futures Options。Journal of Econometrics,94,181-238。  new window
19.Duffie, D.、Pan, J.、Singleton, K.(2000)。Transform Analysis and Asset Pricing for Affine Jump-Diffusions。Econometrica,68(6),1343-1376。  new window
研究報告
1.Lin, B. H.,、Hong, M. W.,、Wang, J. Y.、Wu, T. H.(2008)。A lattice model for option pricing under GARCH-Jump Process。  new window
2.Duan, J. C.、Ritchken, P.、Sun, Z.(2005)。Jump Starting GARCH: Pricing and Hedging Options with Jumps in Returns and Volatilities。Toronto, Canada:Toronto University。  new window
圖書
1.Greene, William. H.(1993)。Econometric Analysis。N.Y.:Prentice Hall, Inc.。  new window
2.Bachelier, L.(1900)。Theory of Speculation。Paris, France:Gauthier-Villars。  new window
 
 
 
 
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