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題名:Connections between Volatility Skew Measures and TAIEX Return
書刊名:期貨與選擇權學刊
作者:王佳真 引用關係王尹柔李君屏 引用關係
作者(外文):Wang, Jai-jenWang, Yin-rouLee, Jin-ping
出版日期:2016
卷期:9:1
頁次:頁1-59
主題關鍵詞:隱含波動率歷史波動率價性波動性偏態指標臺灣證券交易所總加權股價指數TAIEXImplied volatilityRealized volatilityMoneynessVolatility skew measureTaiwan Stock Exchange Capitalization Weighted Stock Index
原始連結:連回原系統網址new window
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  • 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
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  • 點閱點閱:14
期刊論文
1.Lien, Donald、Shrestha, Keshab(2009)。A new information share measure。Journal of Futures Markets,29(4),377-395。  new window
2.Bali, Turan G.、Hovakimian, Armen(2009)。Volatility Spreads and Expected Stock Returns。Management Science,55(11),1797-1812。  new window
3.Hong, Harrison、Torous, Walter、Valkanov, Rossen(2007)。Do Industries Lead Stock Markets?。Journal of Financial Economics,83(2),367-396。  new window
4.Bollen, N.、Whaley, R.(2004)。Does net Buying Pressure Affect the Shape of Implied Volatility Functions?。Journal of Finance,59(2),711-753。  new window
5.Banerjee, Prithviraj S.、Doran, James S.、Peterson, David R.(2007)。Implied volatility and future portfolio returns。Journal of Banking and Finance,31,3183-3199。  new window
6.Cremers, Martijn、Weinbaum, David(2010)。Deviations from put-call parity and stock return predictability。Journal of Financial and Quantitative Analysis,45,335-367。  new window
7.Chakravarty, Sugato、Gulen, Huseyin、Mayhew, Stewart(2004)。Informed trading in stock and option markets。Journal of Finance,59,1235-1258。  new window
8.Black, Fischer(1975)。Fact and Fantasy in the Use of Options。Financial Analysts Journal,31(4),36-41+61-72。  new window
9.Buraschi, Andrea、Jackwerth, Jens(2001)。The Price of a Smile: Hedging and Spanning in Option Markets。Review of Financial Studies,14(2),495-527。  new window
10.Fleming, Jeff、Ostdiek, Barbara、Whaley, Robert E.(1996)。Trading Costs and the Relative Rates of Price Discovery in Stock, Futures, and Option Markets。Journal of Futures Markets,16(4),353-387。  new window
11.Hasbrouck, Joel(1995)。One Security, Many Markets: Determining the Contributions to Price Discovery。Journal of Finance,50,1175-1199。  new window
12.Gârleanu, N.、Pedersen, L. H.、Poteshman, A. M.(2009)。Demand-Based Option Pricing。Review of Financial Studies,22(10),4259-4299。  new window
13.Xing, Yuhang、Zhang, Xiaoyan、Zhao, Rui(2010)。What does individual option volatility smirk tell us about future equity returns?。Journal of Financial and Quantitative Analysis,45(3),641-662。  new window
14.Lien, Donald、Shrestha, Keshab(2014)。Price discovery in interrelated markets。Journal of Future Markets,34(3),203-219。  new window
15.Bakshi, Gurdip、Kapadia, Nikunj(2003)。Delta-Hedged Gains and the Negative Volatility Risk Premium。Review of Financial Studies,16,527-566。  new window
16.Bakshi, Gurdip、Kapadia, Nikunj(2003)。Volatility Risk Premiums Embedded in Individual Equity Options。Journal of Derivatives,11,45-54。  new window
17.Baltussen, Guido、van der Grient, Bart、de Groot, Wilma、Hennink, Erik、Zhou, Weili(2012)。Exploiting Option Information in the Equity Market。Financial Analysts Journal,68,56-72。  new window
18.Chan, Chin-Horng、Shih, Chieh-Jen(2005)。Price Discovery in Taiwan Stock Index Derivatives Markets。Taiwan Banking, and Finance Quarterly,6,31-51。  new window
19.Frijns, Bart、Tallau, Christian、Tourani-Rad, Alireza(2010)。The Information Content of Implied Volatility: Evidence from Australia。Journal of Futures Markets,30,134-155。  new window
20.Goyal, Amit、Saretto, Alessio(2009)。Cross-Section of Option Returns and Volatility。Journal of Financial Economics,94,310-326。  new window
21.Xie, Shiqing、Mo, Taiping(2014)。Index Futures Trading and Stock Market Volatility in China: A Difference-in-Difference Approach。Journal of Futures Markets,34,282-297。  new window
22.Kahneman, Daniel、Tversky, Amos(1979)。Prospect Theory: An Analysis of Decision under Risk。Econometrica: Journal of the Econometric Society,47(2),263-292。  new window
23.Hong, Harrison、Stein, Jeremy C.(1999)。A Unified Theory of Underreaction, Momentum Trading, and Overreacton in Asset Markets。Journal of Finance,54(6),2143-2184。  new window
圖書
1.Duffie, D.(1996)。Dynamic Asset Pricing Theory。Princeton, New Jersey:Princeton University Press。  new window
2.Benninga, Simon(1989)。Numerical Techniques in Finance。Cambridge, MA:The MIT Press。  new window
 
 
 
 
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