-
1تقرير
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
العلاقة: http://nccur.lib.nccu.edu.tw/bitstream/140.119/109711/1/103-2410-H-004-029-MY2.pdfTest; http://nccur.lib.nccu.edu.tw//handle/140.119/109711Test
-
2دورية أكاديمية
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
العلاقة: http://nccur.lib.nccu.edu.tw/bitstream/140.119/120954/1/135-166.pdfTest; http://nccur.lib.nccu.edu.tw//handle/140.119/120954Test
-
3رسالة جامعية
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
العلاقة: http://ir.ncnu.edu.tw:8080/handle/310010000/15565Test; http://ir.ncnu.edu.tw:8080/bitstream/310010000/15565/1/index.htmlTest
-
4تقرير
المؤلفون: 林丙輝
العلاقة: http://ir.lib.ntust.edu.tw/handle/987654321/4537Test; http://ir.lib.ntust.edu.tw/bitstream/987654321/4537/1/NSC93-2416-H011-009.pdfTest
-
5رسالة جامعية
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
-
6رسالة جامعية
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
العلاقة: http://nccur.lib.nccu.edu.tw/bitstream/140.119/111746/1/503301.pdfTest; http://nccur.lib.nccu.edu.tw//handle/140.119/111746Test
-
7
المؤلفون: Chao-Wei Chung, 鍾朝偉
المساهمون: 應用經濟學系所, 黃琮琪, Tsorng-Chyi Hwang
-
8رسالة جامعية
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
-
9
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
العلاقة: 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/987654321/93776Test
-
10
المؤلفون: 林雅惠
العلاقة: 兼任教師送審著作 https://ndltd.ncl.edu.tw/cgi-bin/gs32/gsweb.cgi/login?o=dnclcdr&s=id=%22099TKU05214031%22.&searchmode=basicTest; http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/117904Test; http://tkuir.lib.tku.edu.tw:8080/dspace/bitstream/987654321/117904/-1/index.htmlTest; http://tkuir.lib.tku.edu.tw:8080/dspace/bitstream/987654321/117904/-1Test/投資人淨買壓對隱含波動率之探討目次.pdf; http://tkuir.lib.tku.edu.tw:8080/dspace/bitstream/987654321/117904/-1Test/投資人淨買壓對隱含波動率之探討摘要.pdf
الإتاحة: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/117904Test
http://tkuir.lib.tku.edu.tw:8080/dspace/bitstream/987654321/117904/-1/index.htmlTest
http://tkuir.lib.tku.edu.tw:8080/dspace/bitstream/987654321/117904/-1Test/投資人淨買壓對隱含波動率之探討目次.pdf
http://tkuir.lib.tku.edu.tw:8080/dspace/bitstream/987654321/117904/-1Test/投資人淨買壓對隱含波動率之探討摘要.pdf
