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題名:Information Content of Continuous and Jump Decomposition of Variances
書刊名:財務金融學刊
作者:曾祺峰 引用關係蔡子晧 引用關係
作者(外文):Tzeng, Chi-fengTsai, Jeffrey Tzuhao
出版日期:2018
卷期:26:3
頁次:頁117-139
主題關鍵詞:波動度預測無模型隱含波動度已實現變異值條件式躍動頻率Volatility predictionModel free implied volatilityRealized varianceConditional jump intensity
原始連結:連回原系統網址new window
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  • 點閱點閱:119
期刊論文
1.Busch, Thomas、Christensen, Bent J.、Nielsen, Morten Ørregaard(2011)。The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets。Journal of Econometrics,160,48-57。  new window
2.Bakshi, Gurdip、Cao, Charles、Chen, Zhiwu(1997)。Empirical performance of alternative option pricing models。Journal of Finance,52,2003-2049。  new window
3.Bali, Turan G.、Weinbaum, David(2007)。A conditional extreme value volatility estimator based on high-frequency returns。Journal of Economic Dynamics and Control,31,361-397。  new window
4.Barndorff-Nielsen, Ole E.、Shephard, Neil(2001)。Non-Gaussian Ornstein-Uhlenbeck based models and some of their uses in financial economics。Journal of the Royal Statistical Society,63,167-241。  new window
5.Andersen, Torben G.、Bollerslev, Tim、Meddahi, Nour(2004)。Analytical evaluation of volatility of volatility forecasts。International Economic Review,45,1079-1110。  new window
6.Blair, Bevan J.、Poon, Ser-Huang、Taylor, Stephen J.(2001)。Forecasting S&P 100 volatility: The incremental information content of implied volatilities and high-frequency index returns。Journal of Econometrics,105,5-26。  new window
7.Becker, Ralf、Clements, Adam E.、White, Scoot I.(2007)。Do implied volatility provide any information beyond that captured in model-based volatility forecasts。Journal of Banking and Finance,31,2535-2549。  new window
8.Christoffersen, Peter、Jacobs, Kris、Ornthanalai, Chayawat(2012)。Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options。Journal of Financial Economics,106,447-472。  new window
9.Christoffersen, Peter、Feunou, Bruno、Jeon, Yoontae(2015)。Option valuation with observable volatility and jump dynamics。Journal of Banking and Finance,61,S101-S120。  new window
10.Christoffersen, Peter、Feunou, Bruno、Jacobs, Kris、Meddahi, Nour(2013)。The economic value of realized volatility: Using high-frequency returns for option valuation。Journal of Financial and Quantitative Analysis,49,663-697。  new window
11.Chan, Wing Hong、Maheu, John M.(2002)。Conditional jump dynamics in stock market returns。Journal of Business and Economics Statistics,20,377-389。  new window
12.Ederington, Louis H.、Guan, Wei(2002)。Measuring implied volatility: Is an average better? Which average?。Journal of Futures Markets,22,811-837。  new window
13.Duffie, Darrell、Pan, Jun、Singleton, Kenneth(2000)。Transform analysis and asset pricing for affine jump-diffusions。Econometrica,68,1343-1376。  new window
14.Daal, Elton、Naka, Atsuyuki、Yu, Jung-Suk(2007)。Volatility clustering, leverage effects, and jump dynamics in the U.S. and emerging Asian equity markets。Journal of Banking and Finance,31,2751-2769。  new window
15.Corsi, Fulvio(2009)。A simple approximate long-memory model of realized volatility。Journal of Financial Econometrics,7(2),174-196。  new window
16.Jiang, George J.、Tian, Yisong S.(2005)。The model-free implied volatility and its information content。Review of Financial Studies,18,1305-1342。  new window
17.Huang, Xin、Tauchen, George(2005)。The relative contribution of jumps to total price variance。Journal of Financial Econometrics,3,456-499。  new window
18.Giot, Pierre、Laurent, Sebastien(2007)。The information content of implied volatility in light of the jump/continuous decomposition of realized volatility。Journal of Futures Markets,27,337-359。  new window
19.Fan, Rui、Taylor, Stephen J.、Sandri, Metteo(2017)。Density forecast comparisons for stock prices, obtained from high-frequency returns, and daily option prices。Journal of Futures Market,38,83-103。  new window
20.Eraker, Bjorn(2004)。Do stock prices and volatility jump? Reconciling evidence from spot and option prices。Journal of Finance,59,1367-1404。  new window
21.Pong, Shiuyan、Shackleton, Mark B.、Taylor, Stephen J.、Xu, Xinzhong(2004)。Forecasting currency volatility: A comparison of implied volatilities and AR(FI)MA models。Journal of Banking and Finance,28,2541-2563。  new window
22.Martin, Gael M.、Reidy, Andrew、Wright, Jill(2009)。Does the option market produce superior forecasts of noise-corrected volatility measures。Journal of Applied Econometrics,24(1),77-104。  new window
23.Martens, Martin、Zein, Jason(2004)。Predicting financial volatility: High-Frequency time-series forecasts vis-à-vis implied volatility。Journal of Futures Markets,24,1005-1028。  new window
24.Maheu, John M.、McCurdy, Thomas H.(2011)。Do high-frequency measures of volatility improve forecasts of return distributions?。Journal of Econometrics,160,69-76。  new window
25.Maheu, John M.、McCurdy, Thomas H.(2004)。News arrival, jump dynamics, and volatility components for individual stock returns。Journal of Finance,59,755-793。  new window
26.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
27.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。  new window
28.Diebold, Francis X.、Mariano, Roberto S.(1995)。Comparing Predictive Accuracy。Journal of Business and Economic Statistics,13(3),253-263。  new window
29.Barndorff-Nielsen, Ole E.、Shephard, Neil(2004)。Power and bipower variation with stochastic volatility and jumps。Journal of Financial Econometrics,2(1),1-37。  new window
研究報告
1.Chang, Kai-Jiun、Hung, Mao-Wei、Wang, Yaw-Huei(2014)。Model free implied volatilities from alternative implementation approaches and their information contents for future volatility。  new window
2.Taylor, Stephen J.、Wojakowski, Rafal M.、Xu, Gang(2009)。Information flow, volatility measurements, and jump prediction。  new window
 
 
 
 
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