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J.(2000)。Transform Analysis and Asset Pricing for Affine Jump-Diffusions。Econometrica,68(6),1343-1376。 | 7. | Bollerslev, T.、Todorov, V.(2011)。Tails, Fears, and Risk Premia。Journal of Finance,66(6),2165-2211。 | 8. | Huang, X.、Tauchen, G.(2005)。The Relative Contribution of Jumps to Total Price Variance。Journal of Financial Econometrics,3(4),456-499。 | 9. | Fisher, R. A.、Tippett, L. H. C.(1928)。Limiting Forms of the Frequency Distribution of the Largest or Smallest Member of a Sample。Mathematical Proceedings of the Cambridge Philosophical Society,24(2),180-190。 | 10. | Andersen, T. G.、Benzoni, L.、Lund, J.(2002)。An empirical investigation of continuous-time equity return models。Journal of Finance,57(3),1239-1284。 | 11. | Barndorff-Nielsen, Ole E.、Shephard, Neil(2006)。Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation。Journal of Financial Econometrics,4(1),1-30。 | 12. | Bakshi, G.、Cao, C.、Chen, Z.(1997)。Empirical Performance of Alternative Option Pricing Models。Journal of Finance,52(5),2003-2049。 | 13. | Pickands, J. III(1975)。Statistical Inference Using Extreme Order Statistics。Annals of Statistics,3(1),119-131。 | 14. | Merton, Robert C.(1976)。Option Pricing When Underlying Stock Returns are Discontinuous。Journal of Financial Economics,3(1/2),125-144。 | 15. | 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。 | 16. | Mosteller, F.(1946)。On some useful 'inefficient' statistics。Annals of Mathematical Statistics,17(4),377-408。 | 17. | Aït-Sahalia, Y.(2004)。Disentangling diffusion from jumps。Journal of Financial Economics,74(3),487-528。 | 18. | Aït-Sahalia, Y.、Jacod, J.(2009)。Testing for Jumps in a Discretely Observed Process。Annals of Statistics,37(1),184-222。 | 19. | Andersen, Torben G.、Bollerslev, Tim、Dobrev, Dobrislav(2007)。No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications。Journal of Econometrics,138(1),125-180。 | 20. | Bakshi, G. S.、Madan, D.、Panayotov, G.(2010)。Deducing the Implications of Jump Models for the Structure of Stock Market Crashes, Rallies, Jump Arrival Rates, and Extremes。Journal of Business and Economic Statistics,28(3),380-396。 | 21. | Barndorff-Nielsen, O. E.、Shephard, N.(2002)。Estimating Quadratic Variation Using Realized Variance。Journal of Applied Econometrics,17(5),457-477。 | 22. | Basawa, I.、Brockwell, P.(1982)。Non-Parametric Estimation for Non-Decreasing Levy Processes。Journal of the Royal Statistical Society. Series B (Methodological),44(2),262-269。 | 23. | Evans, K. P.(2011)。Intraday jumps and us macroeconomic news announcements。Journal of Banking and Finance,35(10),2511-2527。 | 24. | Bollerslev, T.、Law, T. H.、Tauchen, G.(2008)。Risk, Jumps, and Diversification。Journal of Econometrics,144(1),234-256。 | 25. | Hansen, P. R.、Lunde, A.(2006)。Realized Variance and Market Microstructure Noise。Journal of Business and Economic Statistics,24(2),127-161。 | 26. | Jiang, G. J.、Oomen, R. C. A.(2008)。Testing for jumps when asset prices are observed with noise--a "swap variance" approach。Journal of Econometrics,144(2),352-370。 | 27. | Johannes, Michael(2004)。The Statistical and Economic Role of Jumps in Continuous-Time Interest Rate Models。Journal of Finance,59(1),227-260。 | 28. | Lee, S.、Hannig, J.(2010)。Detecting Jumps from Levy Jump Diffusion Processes。Journal of Financial Economics,96(2),271-290。 | 29. | Lee, Suzanne S.、Mykland, Per A.(2008)。Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics。Review of Financial Studies,21(6),2535-2563。 | 30. | Patton, A. J.、Sheppard, K.(2015)。Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility。The Review of Economics and Statistics,97(3),683-697。 | 31. | Rangel, J. G.(2011)。Macroeconomic News, Announcements, and Stock Market Jump Intensity Dynamics。Journal of Banking and Finance,35(5),1263-1276。 | 32. | Rosa, C.(2011)。The high-frequency response of exchange rates to monetary policy actions and statements。Journal of Banking and Finance,35(2),478-489。 | 33. | Tauchen, G.(2011)。Realized jumps on financial markets and predicting credit spreads。Journal of Econometrics,160(1),102-118。 | 34. | Todorov, V.、Tauchen, G.(2010)。Activity signature functions for high frequency data analysis。Journal of Econometrics,154(2),125-138。 | 35. | Wright, J. H.、Zhou, H.(2009)。Bond risk premia and realized jump risk。Journal of Banking and Finance,33(12),2333-2345。 | 36. | Bessembinder, H.(2003)。Trade Execution Costs and Market Quality after Decimalization。Journal of Financial and Quantitative Analysis,38(4),747-777。 | 37. | Bates, D. S.(2000)。Post-'87 Crash Fears in the S&P 500 Futures Option Market。Journal of Econometrics,94(1/2),181-238。 | 38. | Andersen, Torben Gustav、Bollerslev, Tim(1998)。Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts。International Economic Review,39(4),885-905。 | 39. | Andersen, T. G.、Bollerslev, T.、Diebold, F. X.、Vega, C.(2003)。Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange。The American Economic Review,93(1),38-62。 | 40. | Barndorff-Nielsen, Ole E.、Shephard, Neil(2002)。Econometric Analysis of Realized Volatility and Its Use in Estimating Stochastic Volatility Models。Journal of the Royal Statistical Society. Series B,64(2),253-280。 | 41. | Andersen, Torben G.、Bollerslev, Tim、Diebold, Francis X.、Ebens, Heiko(2001)。The Distribution of Realised Stock Return Volatility。Journal of Financial Economics,61(1),43-76。 | 42. | Andersen, Torben G.、Bollerslev, Tim、Diebold, Francis X.、Labys, Paul(2001)。The Distribution of Realized Exchange Rate Volatility。Journal of the American Statistical Association,96(453),42-55。 | 43. | Andersen, Torben G.、Bollerslev, Tim、Diebold, Francis X.(2007)。Roughing It Up : Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility。The Review of Economics and Statistics,89(4),701-720。 | 44. | Barndorff-Nielsen, Ole E.、Shephard, Neil(2004)。Power and bipower variation with stochastic volatility and jumps。Journal of Financial Econometrics,2(1),1-37。 | 研究報告1. | Aït-Sahalia, Y.、Jacod, J.(2010)。Analyzing the spectrum of asset returns: jumps and volatility components in high frequency data。Cambridge:National Bureau of Economic Research。 | 2. | Yeh, J. H.、Yun, M. S.(2010)。Regression-based test of price jumps and cojumps in financial asset prices。Taoyuan:National Central University。 | 圖書1. | Embrechts, P.、Klüppelberg, C.、Mikosch, T.(2001)。Modelling extremal events for insurance and finance。Berlin:Springer-Verlag。 | 圖書論文1. | Barndorff-Nielsen, O. E.、Kinnebrock, S.、Shephard, N.(2010)。Measuring Downside Risk--Realized Semivariance。Volatility and time series econometrics: essays in honor of Robert F. Engle。Oxford University Press。 | |
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