المؤلفون: 文莛橞, Wen, Ting-Hui

المساهمون: 林信助

مصطلحات موضوعية: 目標波動度策略, 波動度指數, 已實現波動度, 投資組合, 多國比較, Volatility Targeting Strategy, Volatility Index, Realized Volatility, Portfolio, Multi-Country Comparisons

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Relation: Bongaerts, D., Kang, X., & van Dijk, M. (2020). Conditional volatility targeting. Financial Analysts Journal, 76(4), 54-71.\n\nDachraoui, K. (2018). On the Optimality of Target Volatility Strategies. Journal of Portfolio Management, 44(5):58–67.\n\nBarber, B. M., & Odean, T. (2000). Trading is hazardous to your wealth: The common stock investment performance of individual investors. The journal of Finance, 55(2), 773-806.\n\nCirelli, S., Lozza, S. O., & Moriggia, V. (2017). A conservative discontinuous target volatility strategy. Investment Management & Financial Innovations, 14(2), 176.\n\nGiese, G. (2010). On the risk-return profile of leveraged and inverse ETFs. Journal of Asset Management, 11(4), 219-228.\n\nHarvey, C. R., Hoyle, E., Korgaonkar, R., Rattray, S.,\nSargaison, M., & Van Hemert, O. (2018). The impact of volatility targeting. Available at SSRN 3175538.\n\nHallerbach, W. G. (2012). A proof of the optimality of volatility weighting over time. Available at SSRN 2008176.\n\nHansen, P. R., & Lunde, A. (2005). A forecast comparison of volatility models: does anything beat a GARCH (1, 1)?. Journal of applied econometrics, 20(7), 873-889.\n\nHansen, P. R., Huang, Z., & Shek, H. H. (2012). Realized GARCH: a joint model for returns and realized measures of volatility. Journal of Applied Econometrics, 27(6), 877-906.\n\nHenkel, S. J., Martin, J. S., & Nardari, F. (2011). Time-varying short-horizon predictability. Journal of financial economics, 99(3), 560-580.\n\nKongsilp, W., & Mateus, C. (2017). Volatility risk and stock return predictability on global financial crises. China Finance Review International, 7, 1, 33-66.\n\nKritzman, M., Page, S., & Turkington, D. (2012). Regime shifts: Implications for dynamic strategies (corrected). Financial Analysts Journal, 68(3), 22-39.\n\nLiu, F., Tang, X., & Zhou, G. (2019). Volatility-managed portfolio: Does it really work?. The Journal of Portfolio Management, 46 (1), 38-51.\n\nMoreira, A., & Muir, T. (2017). Volatility‐managed portfolios. The Journal of Finance, 72(4), 1611-1644.\n\nMylnikov, G. (2021). Volatility Targeting: It’s Complicated!. The Journal of Portfolio Management, 47(8), 57-74.\n\nNadarajah, S., Zhang, B., & Chan, S. (2014). Estimation methods for expected shortfall. Quantitative Finance, 14(2), 271-291.\n\nPong, S., Shackleton, M. B., Taylor, S. J., & Xu, X. (2004). Forecasting currency volatility: A comparison of implied volatilities and AR (FI) MA models. Journal of Banking & Finance, 28(10), 2541-2563.\n\nWhaley, R. E. (2009). Understanding the VIX. Journal of Portfolio Management, 35(3), 98-105.\n\nQian, E., Sorensen, E. H., & Hua, R. (2007). Information horizon, portfolio turnover, and optimal alpha models. The Journal of Portfolio Management, 34(1), 27-40.; G0110351031; https://nccur.lib.nccu.edu.tw//handle/140.119/146341; https://nccur.lib.nccu.edu.tw/bitstream/140.119/146341/1/103101.pdf

الاتاحة: https://nccur.lib.nccu.edu.tw//handle/140.119/146341
https://nccur.lib.nccu.edu.tw/bitstream/140.119/146341/1/103101.pdf

المؤلفون: 張沛翔, Chang, Pei-Hsiang

المساهمون: 淡江大學統計學系碩士班, 林志娟, Lin, Jyh-Jiuan

مصطلحات موضوعية: 超高頻資料, 日內資料, 已實現波動度, 平均數-變異數投資組合模型, Ultra High-Frequency Data, Intraday data, realized volatility, Mean-variance portfolio model

Relation: 參考文獻 Andersen, T. G., Bollerslev, T., Diebold, F. X., & Ebens, H. (2001a). The distribution of realized stock return volatility. Journal of Financial Economics, 61(1), 43-76. Andersen, T. G., Bollerslev, T., Diebold, F. X., & Labys, P. (2001b). The distribution of realized exchange rate volatility. Journal of the American Statistical Association, 96(453), 42-55. Andersen, T. G., Bollerslev, T., Diebold, F. X., & Labys, P. (2003). Modeling and forecasting realized volatility. Econometrica, 71(2), 579-625. Banz, R. W. (1981). The relationship between return and market value of common stocks. Journal of Financial Economics, 9(1), 3-18. Basu, S. (1983). The relationship between earnings'' yield, market value and return for NYSE common stocks: Further evidence. Journal of Financial Economics, 12(1), 129-156. Black, F., Jensen M. C. and Scholes M. S., (1972), The Capital Asset Pricing Model: Some Empirical Tests, Studies in the Theory of Capital Markets. Chan, L. K., Hamao, Y., & Lakonishok, J. (1991). Fundamentals and stock returns in Japan. The Journal of Finance, 46(5), 1739-1764. Engle, R. F. (2000). The Econometrics of Ultra‐high‐frequency Data.Econometrica, 68(1), 1-22. Fama, E. F., & MacBeth, J. D. (1973). Risk, return, and equilibrium: Empirical tests. The Journal of Political Economy, 81, 607-636. Fama, E. F., & French, K. R. (1992). The cross‐section of expected stock returns. The Journal of Finance, 47(2), 427-465. Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56. JP Morgan (1996). RiskMetricsTM – Technical Document, 4th Edition, New York. Lakonishok, J., & Shapiro, A. C. (1986). Systematic risk, total risk and size as determinants of stock market returns. Journal of Banking & Finance, 10(1), 115-132. Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. The Review of Economics and Statistics, 47(1), 13-37. Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7(1), 77-91. Mossin, J. (1966). Equilibrium in a capital asset market. Econometrica: Journal of the Econometric Society, 34, 768-783. Reinganum, M. R. (1981). Misspecification of capital asset pricing: Empirical anomalies based on earnings'' yields and market values. Journal of Financial Economics, 9(1), 19-46. Rosenberg, B., Reid, K., & Lanstein, R. (1985). Persuasive evidence of market inefficiency. The Journal of Portfolio Management, 11(3), 9-16. Sharpe, W. F. (1964). Capital asset prices: a theory of market equilibrium under conditions of risk. The journal of finance, 19(3), 425-442. Stattman, D. (1980). Book values and stock returns. The Chicago MBA: a Journal of Selected Papers, 4, 25-45. Zhang, L., Mykland, P. A., & Ait-Sahalia, Y. (2005). A tale of two time scales: Determining integrated volatility with noisy high-frequency data. Journal of the American Statistical Association, 100(472), 1394-1411.; U0002-0307201314150100; http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/94213; http://tkuir.lib.tku.edu.tw:8080/dspace/bitstream/987654321/94213/-1/index.html

الاتاحة: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/94213
http://tkuir.lib.tku.edu.tw:8080/dspace/bitstream/987654321/94213/-1/index.html

المؤلفون: 張書豪, Chang, Shu-Hao, 郭家豪, Guo, Jia-Hau

المساهمون: 財務金融研究所

مصطلحات موضوعية: 隨機波動度, 指數型跳躍, 市場資料估計參數, 已實現波動度, 變異數交換契約, stochastic volatility, exponential jump, market data calibration, realized volatility, variance swaps

Relation: http://140.113.39.130/cdrfb3/record/nctu/#GT070053927; http://hdl.handle.net/11536/72050

الاتاحة: http://hdl.handle.net/11536/72050
http://140.113.39.130/cdrfb3/record/nctu/#GT070053927

المؤلفون: 賴雨聖, 許和鈞, Sheu, Her-Jiun

المساهمون: 管理科學系所

مصطلحات موضوعية: 動態避險比率, 多變量波動度模式, 已實現波動度, 避險績效, Dynamic Hedge Ratio, Multivariate Volatility Model, Realized Volatility, Hedging Performance, stat, eco

Relation: http://hdl.handle.net/11536/79421

الاتاحة: http://hdl.handle.net/11536/79421

المؤلفون: 邱婉茜, Wanchien Chiu, 周幼珍

المساهمون: 財務金融研究所

مصطلحات موضوعية: 高頻率資料, 異質性自我相關已實現波動度(HAR-RV)模型, EGARCH模型, 評價誤差, 避險績效, High frequency data, HAR-RV option pricing model, EGARCH option pricing model, option pricing performance, dynamic hedging performance, moneyness, manag, eco

Relation: http://hdl.handle.net/11536/39348

الاتاحة: http://hdl.handle.net/11536/39348

المؤلفون: 邱婉茜, Wanchien Chiu, 周幼珍

المساهمون: 財務金融研究所

مصطلحات موضوعية: 高頻率資料, 異質性自我相關已實現波動度(HAR-RV)模型, EGARCH模型, 評價誤差, 避險績效, High frequency data, HAR-RV option pricing model, EGARCH option pricing model, option pricing performance, dynamic hedging performance, moneyness

Relation: http://140.113.39.130/cdrfb3/record/nctu/#GT009539503; http://hdl.handle.net/11536/39348

الاتاحة: http://hdl.handle.net/11536/39348
http://140.113.39.130/cdrfb3/record/nctu/#GT009539503