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1Report
المؤلفون: 林士貴
المساهمون: 金融系
مصطلحات موضوعية: 因果關係, 槓桿效果, 波動度回饋效果, Causality Effect, Leverage Effect, Volatility Feedback Effect, eco, manag
Relation: http://nccur.lib.nccu.edu.tw/bitstream/140.119/109711/1/103-2410-H-004-029-MY2.pdf; http://nccur.lib.nccu.edu.tw//handle/140.119/109711
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2Academic Journal
المؤلفون: 陳正暉, 廖四郎, Liao, Szu-Lang
المساهمون: 金融系
مصطلحات موضوعية: Optimal portfolio choice, stochastic volatility, time-changed Lévy processes, leverage effect, volatility feedback effect, asymmetric volatility, 最適投資組合, 隨機波動度, 時間轉換Lévy過程, 槓桿效果, 波動度回饋效果, 波動度不對稱, eco
Relation: http://nccur.lib.nccu.edu.tw/bitstream/140.119/120954/1/135-166.pdf; http://nccur.lib.nccu.edu.tw//handle/140.119/120954
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3Academic Journal
المؤلفون: 張瑞真, Chang, Jui-Chen, 陳焙焿
المساهمون: 財務金融學系
مصطلحات موضوعية: 臺股指數期貨, 價量關係, 回饋效果, 槓桿效果, 波動外溢效果, Taiwan stock index futures, Price-volume relationship, Feedback effect, Leverage effect, Volatility spillover effect
Relation: 僑光學報; 29期; pp.187-202; http://nhuir.nhu.edu.tw/handle/987654321/27588
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4Report
المؤلفون: 杜化宇
المساهمون: 政治大學財務管理系, 行政院國家科學委員會
مصطلحات موضوعية: 槓桿效果, EGARCH 模型, 動態panel 模型, GMM 方法, Bootstrap 方法
Relation: 應用研究; 學術補助; 研究期間:9508 ~ 9607; 研究經費:400仟元; https://nccur.lib.nccu.edu.tw//handle/140.119/53807; https://nccur.lib.nccu.edu.tw/bitstream/140.119/53807/-1/952410H004.pdf
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5
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6Dissertation/ Thesis
المؤلفون: 李晟綱, Li, Cheng-Kang
المساهمون: 洪碧霞 教授, 管理學院:財務金融學系
مصطلحات موضوعية: 槓桿效果, 磁效應, 價格限制, 驅動效果, Leverage effect, magnet effect, price limits, trigger effects
وصف الملف: 130 bytes; text/html
Relation: http://ir.ncnu.edu.tw:8080/handle/310010000/15565; http://ir.ncnu.edu.tw:8080/bitstream/310010000/15565/1/index.html
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7Dissertation/ Thesis
المؤلفون: 王馨平, Wang, Hsin-Ping
المساهمون: 會計學系, 廖麗凱, Liao, Li-Kai, 王馨平, Wang, Hsin-Ping
مصطلحات موضوعية: 加密貨幣市場, 比特幣, 以太幣, 日本加密貨幣之合法, 投資者情緒, 波動叢聚, 槓桿效果, Bitcoin, Ethereum, cryptocurrencies, legalization of cryptocurrencies in Japan, investors sentiment, volatility, leverage effect of volatility, eco, manag
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8Dissertation/ Thesis
المؤلفون: 廖志偉, Liao, Chih Wei
المساهمون: 廖四郎, Liao, Szu Lang
مصطلحات موضوعية: 高頻資料, 因果關係, 槓桿效果, 波動度回饋效果, 跳躍, High-frequency data, Causality, Leverage effect, Volatility feedback effect, Jumps, eco, manag
Relation: http://nccur.lib.nccu.edu.tw/bitstream/140.119/111746/1/503301.pdf; http://nccur.lib.nccu.edu.tw//handle/140.119/111746
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9
المؤلفون: Chao-Wei Chung, 鍾朝偉
المساهمون: 應用經濟學系所, 黃琮琪, Tsorng-Chyi Hwang
مصطلحات موضوعية: 風險值, 槓桿效果, 蒙地卡羅-馬可夫鍊法, 隨機波動-t 分配模型, Value at Risk (VaR), Leverage effect, Markov Chain Monte Carlo Estimation Methods (MCMC), Stochastic Volatility with Student-t Errors (SV-t) Model, manag, eco
Relation: http://hdl.handle.net/11455/89573
الاتاحة: http://hdl.handle.net/11455/89573
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10Dissertation/ Thesis
المؤلفون: 陳星州, Chen, Hsing-Chou
المساهمون: 財務金融研究所碩士在職專班, 林軒竹, Lin, Hsuan-Chu
مصطلحات موضوعية: 權益波動率, 資產波動率, GARCH模型, 分量迴歸模型, 槓桿效果, Equity Volatility, Asset Volatility, GARCH Model, Quantile Regression, Leverage Effect, eco, manag
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11
المؤلفون: 高婧寧, Kao, Ching-Ning
المساهمون: 淡江大學財務金融學系碩士班, 邱建良, Chiu, Chien-Liang
مصطلحات موضوعية: 波動度奸笑曲線, 機構投資人, 資訊內涵, 流動性效果, 槓桿效果, Volatility Skew, Institutional Investors, information content, liquidity effect, and Leverage Effect
Relation: 中文部分 1. 蔡義蕙，2003，臺指現貨、期貨、選擇權及摩根臺指互動關係之研究。朝陽科技大學。 2. 許繼文，2004，選擇權、現貨及期貨市場之日內價格發現關係實證研究。 國立高雄第一科技大學。 3. 蔡瓊梅，2005，利用隱含波動率價差來探討S&P500指數選擇權與其現貨之間的價格領先落後關係。國立成功大學。 4. 謝文良、李進生、袁淑芳和林惠雪，2007，台灣股價指數現貨、期貨與選擇權市場之價格發現研究—Put-Call-Parity 之應用，中華管理評論國際學報。第十卷,第二期, 1-24頁。 5. 陳巧瑜， 2008，隱含資產價格與波動率對現貨市場價格變動之資訊內涵。 國立台灣大學。 6. 楊東曉、楊昇勇和蔡奕賢， 2011，買賣權期貨平價誤差與隱含波動度差之應用。 期貨與選擇權學刊， 75-112。 英文部分 1. Manaster, S., and Rendleman, J. R., 1982, Option Prices as Predictors of Equilibrium Stock Prices, The Journal of Finance 37(4), 1043-1057. 2. Anthony, J. H., 1988, The Interrelation of Stock and Options Market Trading-Volume Data, The Journal of Finance XLIII(4), 949-964. 3. Chan, K., 1992, A Further Analysis of the Lead-Lag Relationship between the Cash Market and Stock Index Futures Market, The Review of Financial Studies, 123-152. 4. Christopher, G. L., and William, D. L., 1993, Forecasting Stock-Return Variance: Toward an Understanding of Stochastic Implied Volatilities, The Review of Financial Studies 6(2), 293-326. 5. Jonga, F. D., and Donders, M. W. M., 1998, Intraday Lead-lag Relationships Between the Futures, Options and Stock Market, European Finance Review 1(3), 337-359. 6. Christensen, B. J., and Prabhala, N. R., 1998, The Relation between Implied and Realized Volatility, Financial Economics, 125-150. 7. Chakravarty, S., H. G., and Mayhew, S., 2004, Informed Trading in Stock and Option Markets, The Journal of Finance LIX(3), 1235-1258. 8. Bollen, P. B. N., and Whaley, R., 2004, Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?, The Journal of Finance LIX(2), 711-754. 9. Cao, C., Chen Z., and Griffin, M. J., 2005, Informational Content of Option Volume Prior to Takeovers, The Journal of Business 78(3), 1073-1109. 10. Pan, J., and Poteshman, M. A., 2006, The Information in Option Volume for Future Stock Prices, The Review of Financial Studies 19(3), 871-908. 11. Doran, J. S., 2007, Is there Information in the Volatility Skew?, Futures Markets, 921–959. 12. Mixon, S., 2007, The Implied Volatility Term Structure of Stock Index Options, Empirical Finance, 333–354. 13. Barber, B. M., Lee, Y. T., Liu, Y. J., and Odean, T., 2009, Just How Much Do Individual Investors Lose by Trading?, The Review of Financial Studies 22(2), 609-632. 14. Chang, C. C., Hsieh, P. F., and Lai H. N., 2009, Do Informed Option Investors Predict Stock Returns? Evidence from the Taiwan Stock Exchange. The Journal of Banking & Finance 33, 757–764. 15. Kam, C., Chan, Y. C., and Peter, P. Lung, 2009, Informed Trading under Different Market Conditions and Moneyness: Evidence from TXO Options, Pacific-Basin Finance Journal. 16. Turan, G., and Bali A. H., 2009, Volatility Spreads and Expected Stock Returns, Management Science, 1797-1812. 17. Xing, Y., Zhang, X., and Zhao, R., 2010, What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns?, The Journal of Financial and Quantitative analysis 45(3), 641–662. 18. Szua, W. M., M. C.W.a., and Yang, W. R., 2011, The Determinants of Exchange Settlement Practices and the Implication of Volatility Smile: Evidence from the Taiwan Futures Exchange, International Review of Economics and Finance, 826–838. 19. Yan, S., 2011, Jump Risk, Stock Returns, and Slope of Implied Volatility Smile, The Journal of Financial Economics, 216–233.; U0002-2008201314532300; http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/93776
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12
المؤلفون: 林雅惠, Lin, Ya-Hui
المساهمون: 淡江大學財務金融學系碩士班, 邱建良
مصطلحات موضوعية: 淨買壓, 隱含波動率, 套利限制假說, 學習假說, 槓桿效果, 資訊流動效果, net buying pressure, Implied volatility, Limits to Arbitrage Hypothesis, Learning Hypothesis, Leverage Effect, Information Flow Effect
Relation: 參考文獻 中文部分 1. 李淳祥 (2006)，台指選擇權市場淨買壓假說之驗證。國立政治大學財務管理研究所碩士論文。 2. 林宥辰 (2007)，台指選擇權到期日效應與隱含波動度微笑曲線之探討。國立中央大學企業管理研究所碩士論文。 3. 姜書甄 (2005)，淨買壓解釋隱含波動度微笑現象。淡江大學財務金融研究所碩士論文。 4. 湯毅鋒 (2007)，投資環境對淨買壓影響之探討。國立中央大學企業管理研究所碩士論文。 5. 謝承霈 (2009)，選擇權淨買壓與隱含波動度。國立屏東科技大學財務金融研究所碩士論文。 6. 蘇世閎 (2005)，指數選擇權市場淨買壓對隱含波動率變動的影響：台指選擇權市場是避險者為主的市場嗎？。國立交通大學管理科學研究所碩士論文。 英文部分 1. Bakshi, G., Cao, C., and Chen, Z., 1997, Empirical performance of alternative option pricing models, Journal of Finance, 52, 2003-2049. 2. Black, F. and Scholes M., 1973, The pricing of options and corporate liabilities, Journal of Political Economy, 81, 637-659. 3. Black, F., 1976, Studied of stock price volatility changes, in Proceedings of the 1976 Meetings of the Business and Economics Section, 177-181. 4. Bollen, N. P., and Whaley R. E., 2004, Does net buying pressure affect the shape of implied volatility functions? Journal of Finance, 59, 711-753. 5. Brailsford, T. J., and Faff, R. W., 1996, An evaluation of volatility forecasting techniques, Journal of Banking and Finance, 20, 419-438. 6. Chan, K. C., Chen, C. R., and Lung P. P., 2006, Testing the net buying pressure hypothesis during the Asian financial crisis-evidence from Hang Seng index options, Journal of Financial Research, 29, 43-62. 7. Chan, K. C., Chen, C. R., and Lung P. P., 2010, Business cycles and net buying pressure in the S&P500 futures options, European Financial Management, 16, 624-257. 8. Chan, K. C., Cheng, L. T. W., and Lung, P. P., 2004, Net buying pressure, volatility smile, and abnormal profit of Hang Seng index options, Journal of Futures Markets, 24, 1165-1194. 9. Chiras, D., and Manaster, S., 1978, The information content of option prices and a test of market efficiency, Journal of Financial Economics, 6, 213-234. 10. Cho, D. P., and Frees, E. W., 1988, Estimating the volatility of discrete stock price, Journal of Finance, 43, 541-466. 11. Christie, A. A., 1982, The stochastic behavior of common stock variances: value, leverage and interest rate effects, Journal of Financial Economics, 10, 407-432. 12. Clark, P. K., 1973, A subordinated stochastic process model with finite variance for speculative prices, Econometrica, 41, 135-155. 13. Duffee, G. R., 1995, Stock returns and volatility: a firm level analysis, Journal of Financial Economics, 37, 399-420. 14. Epps, T. W., and Epps M. L., 1976, The stochastic dependence of security price changes and transaction volumes: implications for the mixture of distribution hypothesis, Econometrica, 44, 302-321. 15. Fleming, J., Ostdiek, B., and Whaley, R. E., 1995, Predicting stock market volatility: a new measure, Journal of Futures Markets, 15, 265-302. 16. Giot, P., 2002a, Implied volatility indices as leading indicators of stock index returns?, Working Paper, CORE, University of Leuvain. 17. Giot, P., 2002b, The information content of implied volatility indexes for forecasting volatility and market risk, Working Paper, CORE, University of Leuvain. 18. Kang, J., and Park, H. J., 2008, The information content of net buying pressure: evidence from the KOSPI200 index option market, Journal of Financial Markets, 11, 36-56. 19. Nelson, D., 1991, Conditional heteroskedasticity in asset returns: a new approach, Econometrica, 59, 347-379. 20. Newey, W. K., and West, K. D., 1987, A sample, positive semi-definite heteroscedasticity and autocorrelation consistent covariance matrix, Econometrica, 55, 703-708. 21. Poterba, J. M., and Summers, L. H., 1986, The persistence of volatility and stock market fluctuations, American Economic Reviews, 76, 1141-1151. 22. Rubinstein, M., 1985, Nonparametric tests of alternative option pricing models using all reported trades and quotes on the 30 most active CBOE option classes from August23, 1976 through August 31,1987, Journal of Finance, 40, 455-480. 23. Schwert, G. W., 1990, Stock market volatility, Financial Analysts Journal, 46, 23-34. 24. Shiu, Y. M., Pan, G. G., Lin, S. H., and Wu, T. C., 2010, Impact of net buying pressure on changes in implied volatility: before and after the onset of the subprime crisis, Journal of Derivatives, 17, 54-66. 25. Tauchen, G. E., and Pitts, M., 1983, The price variability-volume relationship on speculative markets, Econometrica, 51, 485-505. 26. Whaley, R. E., 2000, The investor fear gauge, Journal of Portfolio Management, 26, 12-17.; U0002-2506201100234700; http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/73960; http://tkuir.lib.tku.edu.tw:8080/dspace/bitstream/987654321/73960/-1/index.html
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13Dissertation/ Thesis
المؤلفون: 沈容光
المساهمون: 杜化宇
Time: 41
Relation: 1. 陳順宇，多變量分析，四版，民國94年，華泰文化公司出版 2. 楊奕農，時間序列分析 ─ 經濟與財務上之應用，二版，民國98年，雙葉書廊有 限公司 3. 陳旭昇，時間序列分析 ─ 總體經濟與財務金融之應用，民國98年，台灣東華書 局 4. Tsay, Ruey S.(2005) Analysis of Financial Time Series, Wiley Series in Probability and Statistics 5. 蔡怡純、陳明吉，“台北地區不動產價格波動不對稱性探討”，中華民國住宅學 會學報，民國九十七年十二月，第十七卷第二期，1-11頁 6. 王健安、張金鶚，“臺灣 REITs 與 REATs 發行個案之典型事實分析”，臺灣 銀行季刊，民國九十八年十二月，第六十卷第四期，169-223頁 7. 許君毅，“風險觀點下探討台灣 REITs 的關聯性分析- 結合主成份分析法之 實證”，會計與財金研究，民國九十九年一月，第三卷第一期，55-71頁 8. 蔡怡純、胥愛琦、陳明吉，“不動產投資信託基金變得更危險了嗎? 亞洲市場實 證研究”，經濟與管理論叢，民國九十九年七月，第六卷第二期， 271-298頁 9. 蔡怡純，“台灣不動產投資信託基金之抗跌與風險特性”，中華民國住宅學會學 報，民國一百年六月，第二十卷第一期，25-58頁 10. 蔡怡純、陳明吉、張光亮，“台灣不動產投資信託基金具有防禦性嗎？”，證券 市場發展季刊，民國一百年，第二十三卷第三期，199-224.頁 11. Anderson Seth, T. R. Beard, H. Kim and L. V. Stern (2011) “Fear and Closed-End Fund Discounts: Investor Sentiment revisited, ” Journal of Economic Literature, C32, G01, G12 12. Agyei-Ampomah, S. and J. R. Davies (2005) “Excess Volatility and UK Investment Trusts, ” Journal of Business Finance & Accounting, Vol. 32, Nos. 5 & 6 , 1033–62 13. Boudreaux, Kenneth J (1973) “Discounts and Premiums on Closed-End Mutual Funds: A Study in Valuation,” The Journal of Finance, Vol. 28, No. 2 14. Black, F. (1976) “Studies in Stock Price Volatility Changes,” Proceedings of the 1976 Business Meeting of the Business and Economics Statistics Section, American Statistical Association, 177-181 15. Bollerslev, T.(1986) “Generalized Autoregressive Conditional Heteroskedasticity,” Journal of Econometrics, 31: 307-328. 16. Bollerslev, T., R.F. Engle and J.M. Wooldridge (1988), “A Capital Asset Pricing Model with Time-Varying Covariances”, Journal of Political Economy, 96, 116-131 17. Bollerslev, T. (1990) “Modelling the Coherence in Short- Run Nominal Exchange Rate: A Multivariate Generalized ARCH Approach,” Review of Economics and Statistic, 72, 498-505 18. Barkham, R., and Ward, C. W.(1999) “Investor sentiment and noise traders: discount to net asset value in listed property companies in the UK.,” Journal of Real Estate Research, 18(2), 291 – 312. 19. Chan, K.C. Patric H. Hendershott, and Anthony B. Sanders (1990) “Risk and Return on Real Estate: Evidence from Equity REITs,” Working paper, National Bureau of Economic Research 20. Chen Nai-Fu, Kan R. and Merton H. Miller (1993) “Are the Discounts on Closed-End Funds a Sentiment Index,”Journal of Finance, Vol. 48, No. 2, 795-800 21. Capozza, D. and S. Lee (1995) “Property Type, Size and REIT Value,” Journal of Real Estate Research, 10, 363- 379. 22. Clayton, J., MacKinnon, G. (2001) “Explaining the discount to NAV in REIT pricing: Noise or information? ,” Working Paper, RERI 23. De Long, J. Bradford, Andrei Shleifer, Larrence H. Summers and Richard J. Waldman (1990) “Noise Trader Risk in Financial Markets.” Journal of Political Economy 98, 703-738. 24. Engle, Robert F. (1982) “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation,” Econometrica, 50: 987-1007. 25. Engle, Robert F. and Kenneth F. Kroner. (1995) “Multivariate Simultaneous Generalized Arch,” Econometric Theory, Vol. 11, No. 1, 122-150 26. Engle, Robert F. and Kevin Sheppard (2001) “Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH, ” NBER Working Papers 8554, National Bureau of Economic Research 27. Engle, Robert (2002) “Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models, ” Journal of Business & Economic Statistics 20, 339-350. 28. Glascock, J. L., D. Michayluk and K. Neuhauser. (2004) “The Riskiness of REITs Surrounding the October 1997 Stock Market Decline,” Journal of Real Estate Finance and Economics, 28(4): 339-354 29. Gentry, William M., C. Jones and C. Mayer (2004) “REIT Reversion: Stock Price Adjustments to Fundamental Value,” Working Paper, Columbia University 30. Lee, Charles M. C., Andrei Shleifer, and Richard H. Thaler (1990) “Anomalies: Closed-End Fund Mutual Funds.” Journal of Economic Perspectives 4.4, 154-64. 31. Lee, Charles M. C., Andrei Shleifer, and Richard H. Thaler (1991) “Investor Sentiment and the Closed-End Fund Puzzle.” Journal of Finance, 66.1, 75-109 32. Lin Crystal Yan, Hamid Rahman and Kenneth Yung (2009) “Investor Sentiment and REIT Returns,” Journal of Real Estate Finance and Economics, Vol.39, Number 4, 450-471. 33. Pontiff, Jeffrey (1997) “Excess volatility and closed- end funds,”The American Review, Vol.87, No.1, 155-169 34. Patel, Kanak, Ricardo A. M. G. Pereira and Kirill V. Zavodov (2009) “Mean Reversion in REITs Discount to NAV,” Journal of Real Estate Finance and Economics DOI 10.1007 35. Sims, Christopher A. (1980) “Macroeconomics and reality, ”Econometrica, 48(1), 1-48 36. Silverio, Foresi & Liuren Wu (2005) “Crash-o-Phobia:A Domestic Fear or a Worldwide Concern?” Journal of Derivatives, Vol. 13, No. 2, 8-21 37. Sung Yong Park, Sang Young Jei (2010) “Estimation and Hedging Effectiveness of Time-varying Hedge Ratio:Flexible Bivariate GARCH Approachs,”Journal of Futures Markets, Vol.30, No.1, 71-99 38. Whaley, Robert E. (2000) “The Investor Fear Gauge,” Journal of Portfolio Management, Vol. 26, No. 3, 12-17 39. Zweig, Martin E. (1973) “An Investor Expectations Stock Price Predictive Model Using Closed-end Fund Premiums,” Journal of Finance 28,67-87; G0099357004; http://nccur.lib.nccu.edu.tw//handle/140.119/54177
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14
المؤلفون: 林朕陞, Lin, Jhen-Sheng
المساهمون: 臺灣大學: 經濟學研究所, 林金龍
مصطلحات موضوعية: 波動度預測, 跳躍, 槓桿效果, 修正後門檻估計量, 異質結構, 高頻率資料, volatility forecasting, jumps, leverage effects, corrected threshold estimator, eco
Relation: http://ntur.lib.ntu.edu.tw/bitstream/246246/253355/1/ntu-99-R96323038-1.pdf; http://ntur.lib.ntu.edu.tw/handle/246246/253355
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15Dissertation/ Thesis
المؤلفون: 陳正暉
المساهمون: 廖四郎, Liao,Szu Lang
مصطلحات موضوعية: 最適投資組合, 隨機波動度, 時間轉換Lévy過程, 槓桿效果, 波動度回饋效果, 波動度不對稱, Optimal portfolio choice, stochastic volatility, time-changed Lévy processes, leverage effect, volatility feedback effect, asymmetric volatility, eco
Time: 43
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16Dissertation/ Thesis
المؤلفون: 黃琮凱, Huang, Tsung-Kai
المساهمون: 呂育道, 臺灣大學:財務金融學研究所
مصطلحات موضوعية: 二元樹, 信用組合違約交換, 擔保債務憑證, 槓桿效果, binomial lattice, basket default swaps, collateralized debt obligations, leverage effect, manag, envir
Relation: http://ntur.lib.ntu.edu.tw/bitstream/246246/182708/1/ntu-98-R95723061-1.pdf; http://ntur.lib.ntu.edu.tw/handle/246246/182708
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17Dissertation/ Thesis
المؤلفون: 趙明威
المساهمون: 廖四郎
مصطلحات موضوعية: 高頻率日內資料, 槓桿效果, 波動度預測模型, GJR-GARCH模型
Relation: G0097352011; http://nccur.lib.nccu.edu.tw//handle/140.119/49008; http://nccur.lib.nccu.edu.tw/bitstream/140.119/49008/1/index.html
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18Dissertation/ Thesis
المؤلفون: 鐘文良, Tsung, Wen-lian
المساهمون: 財務金融學系財務管理碩士班, 白宗民, Tzung-min Pai
مصطلحات موضوعية: 台灣股票市場, 電子股, 籌碼結構, 波動不對稱性, 槓桿效果, GJR- GARCH, release lever effect, Taiwan Stock market, chip structure, electronic stock, fluctuation dissymmetry
Relation: http://nhuir.nhu.edu.tw/handle/987654321/19926; http://nhuir.nhu.edu.tw/bitstream/987654321/19926/-1/097NHU05304006-001.pdf; http://nhuir.nhu.edu.tw/bitstream/987654321/19926/-1/index.html
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19
المؤلفون: 袁淑芳, Yuan, Shu-fang
المساهمون: 淡江大學財務金融學系博士班, 李進生, Lee, Chin-shen, 邱忠榮, Chiou, Jong-rong
مصطلحات موضوعية: VXO, 波動率指標, 槓桿效果, 展望理論, 擇時指標, Implied volatility, Leverage Effect, Prospect Theory, Timing Index
وصف الملف: 143 bytes; application/octet-stream
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Schwert, and R. Stambaugh, 1987. Expected Stock Returns and Volatility. Journal of Financial Economics, 19, 3-29. Gastineau, G., 1977. An Index of Listed Option Premiums. Financial Analysis Journal, 30, 70-75. Giot, P., 2002a. Implied Volatility Indices as Leading Indicators of Stock Index Returns. Working Paper. Giot, P., 2002b. The Information Content of Implied Volatility Indexes for Forecasting Volatility and Market Risk. Working Paper. Giot, P., 2003. The Asian Financial Crisis: the Start of a Regime Switch in Volatility. Working Paper. Giot, P., 2005. Relationships between Implied Volatility Indexes and Stock Index Returns. Journal of Portfolio Management, 31, 92-100. Glosten, L., R. Jagannathan and D. Runkle, 1993. On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks. Journal of Finance, 48, 1779-1801. Gwilym, O., 2001. Forecasting Volatility for Options Pricing for the U.K. Stock Market. 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20Dissertation/ Thesis
المؤلفون: 鍾孟桓, Chung, Meng-Huan
المساهمون: 交通管理學系碩博士班, 張?之, Chang, Ching-Chih
مصطلحات موضوعية: Tanker Freight Market, Leverage Effect, News Impact Curve, ARMA-EGARCH, 油輪運費市場, 槓桿效果, ARMA-EGARCH模式, 訊息衝擊曲線, eco, manag