| 參考文獻 |
[1] Ait-Sahalia, Y., and Kimmel, R., (2007), "Maximum Likelihood Estimation of
Stochastic Volatility Models", Journal of Financial Economics, 83, pp.413–452.
[2] Amin, K., and Ng, V., (1993), "ARCH Processes and Option Valuation", Manuscript,
University of Michigan.
[3] Black, F. and M. Scholes, (1973), "The Pricing of Options and Corporate
Liabilities", Journal of Political Economy, 81, pp.637–659.
[4] 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, pp.177–181.
[5] Bollersleve, T., (1986), "Generalized Autoregressive Conditional
Heteroskedasticity", Journal of Econometrics, 31, pp.307–327.
[6] Breidt, F. J., Crato, N., and De Lima, P., (1998), "The detection and estimation of
long memory in stochastic volatility", Journal of Econometrics, 83, pp.325–348.
[7] Campbell, J. Y., and Hentschel, L., (1992), "No News is Good News: An
Asymmetric Model of Changing Volatility in Stock Returns", Journal of Financial Economics, 31, pp.281–331.
[8] Cao, C. Q., and Tsay, R. S., (1992), "Nonlinear Time-Series Analysis of Stock
Volatilities", Journal of Applied Econometrics, 7 (Suppl. Dec.), S165–185.
[9] Cassuto, A. E., (1995), "Non-Normal Error Patterns: How to Handle Them", The
Journal of Business Forecasting: Methods and Systems, 14, pp.15–16.
[10] Chaudhury, M. M., and Wei, J. Z., (1996), "A Comparative Study of the
GARCH(1,1) and Black-Scholes Option Prices", Working Paper, University of Saskatchewan.
[11] Christie, A. A., (1982), "The stochastic behavior of common stock variances: Value,
leverage, and interest rate effects", Journal of financial Economics, 10, pp.407–432.
[12] Christoffersen, P., and K. Jacobs., (2004), "Which GARCH Model for Option
Valuation? ", Management Science, 50, pp.1204–1221.
[13] Clark, P. K., (1973), "A subordinated stochastic process model with finite variance
for speculative process", Econometrica, 41(1), pp.135–155.
[14] Conrad, J., and Kaul, G., (1988), "Time-Variation in Expected Returns", Journal of
Business, 61, pp.409–425.
[15] DeBondt, W. F. W., and Thaler, R. H., (1987), "Further Evidence on Investor
Overreaction and Stock Market Seasonality", Journal of Finance, 42, pp.557–582.
[16] Duan, J. C, (1995), "The GARCH Option Pricing Model", Mathematical Finance,
5(1), pp.13–32.
[17] Engle, R., (1982), "Autoregressive conditional heteroscedasticity with estimates of
the variance of U.K. inflation", Econometrica, 50, pp.987–1008.
[18] Engle, R. F., Ng, V. K., and Rothschild, M., (1990), "Asset Pricing with a Factor
ARCH Covariance Structure: Empirical Estimates for Treasury Bills", Journal of Econometrics, 45, pp.213–238.
[19] Engle, R. F., and V, K. Ng., (1993), "Measuring and Testing the Impact of News on
Volatility", Journal of Finance, 48, pp.1749–1778.
[20] Eraker, B., (2004), "Do Stock Prices and Volatility Jump? Reconciling Evidence
from Spot and Option Prices", Journal of Finance, 59, pp.1367–1403.
[21] Fama, E. F., (1965), "The behavior of stock market prices", Journal of Business, 33,
pp.34–105.
[22] Fama, E. F., and Blume, M. E., (1966), "Filter rules and stock market trading",
Journal of Business, 39, pp.226–241.
[23] Fama , E. F., (1970), "Efficient capital market: A review of history and empirical
work", Journal of Finance, 25, pp.383–417.
[24] Ghysels, E., and Jasiak, J., (1996), "Stochastic Volatility and Time Deformation:
An Application to Trading Volume and Leverage Effects", Working paper, University of Montreal.
[25] Glosten, R.T., Jagannathan, R., and Runkle, D., (1993), "On the Relation between
the Expected Value and the Volatility of the Nominal Excess Return on Stocks", Journal of Finance, 48, pp.1779–801.
[26] Hafner, C. M., (1998), "Estimating High-frequency Foreign Exchange Rate
Volatility with Nonparametric ARCH Models", Journal of Statistical Planning and Inference, 68, pp.247–69.
[27] Heston, S., (1993a), "A Closed-Form Solution for Options with Stochastic
Volatility with Applications to Bonds and Currency Options", Review of Financial
Studies, 6, pp.327–343.
[28] Heston, S., (1993b), "Invisible parameers in option prices", Journal of Finance, 48,
933–947.
[29] Heynen, R., Kemma, A., and Vorst, T., (1994), "Analysis of the term structure of
implied volatilities", Journal of Financial and Quantitative Analysis, 29(1), pp.31–56.
[30] Hull, J. C., and White, A., (1987), "The Pricing of Options on Assets with
Stochastic Volatilities", Journal of Finance, 42, pp.281–300.
[31] Jegadeesh, N., (1990), "Evidence of Predictable Behavior of Security Returns",
Journal of Finance, 45, pp.881–898.
[32] Jegadeesh, N., and Titman, S., (1993), "Returns to Buying Winners and Selling
Losers: Implications for Stock Market Efficiency", Journal of Finance, 48, pp.65–91.
[33] Jensen, M.C., (1967), "The performance of mutual funds in the period 1945-1964",
The Journal of Finance, 23, pp.389–416.
[34] Johannes, M. S., N. G. Polson and J. R. Stroud., (2008), "Optimal Filtering of
Jump-Diffusions: Extracting Latent States from Asset Prices", Forthcoming Review of Financial Studies.
[35] Johnson, H., and Shanno, D., (1987), "Option Pricing When the Variance Is
Changing", Journal of Financial and Quantitative Analysis, 22, pp.143–151.
[36] Lee, S.W., and Hansen, B.E., (1994), "Asymptotic theory for the GARCH(1,1)
Quasi-maximum likelihood estimator", Econometric Theory, 10(1), pp.29–52.
[37] Lo, A., and MacKinlay, C.,(1988), "Stock Market Prices Do Not Follow Random
Walks: Evidence from a Simple Specification Test", Review of Financial Studies, 1, pp.41–66.
[38] Mandelbrot, B., (1963), "The Variation of Certain Speculative Prices", Journal of
Business, 36, pp.294–419.
[39] Morgan, I. G., (1976), "Stock Price and Heteroskedasticity", Journal of Business,
49, pp.496–508.
[40] Nelson, D., (1991), "Conditional Heteroskedasticity in Asset Returns: a New
Approach", Econometrica, 59, pp.349–370.
[41] Pan, J., (2002), "The jump-risk premia implicit in options: evidence from an
integrated time-series study", Journal of Financial Economics, 63, pp.3–50.
[42] Poterba, J., and Summers, L., (1988), "Mean Reversion in Stock Prices: Evidence
and Implications", Journal of Financial Economics, 22, pp.27–59
[43] Satchell, S., and Timmermann, A., (1996), "Option Pricing with GARCH and
Systematic Consumption Risk", Derivatives Use, Trading & Regulation, Part II, 1(4), pp.353–67.
[44] Schmitt, C., (1996), "Option pricing using EGARCH models", in Albrecht, P. (ed.),
Aktuarielle Ansätze für Finanz-Risiken, Verlag Versicherungswirtschaft, pp.1311–1336.
[45] Scott, L. O., (1987), "Option Pricing When the Variance Changes Randomly:
Theory, Estimation, and an Application", Journal of Financial and Quantitative Analysis, 22, pp.419–438.
[46] So, M. K. P., Lam, K., and Li,W. K., (1998), "A stochastic volatility model with
Markov switching", Journal of Business & Economic Statistics, 16, pp.244–253.
[47] Stein, E. M., and Stein, J. C., (1991), "Stock Price Distributions with Stochastic
Volatility: An Analytic Approach", Review of Financial Studies, 4, pp.727–752.
[48] Tauchen, G.E., Pitts, M., (1983), "The price variability-volume relationship on
speculative markets", Econometrica ,51(2), pp.485–505.
[49] Taylor, S., (1986), "Modeling Financial Time Series", Wiley and Sons, New York.
[50] Wiggins, J. B., (1987), "Option Values under Stochastic Volatility: Theory and
Empirical Estimates", Journal of Financial Economics, 19, pp.351–372.
[51] Zakoian, J. M., (1994), "Threshold heteroskedastic models", Journal of Economic Dynamics and Control, 18, pp.931–55.
|
[Endnote RIS 格式]
[相關文章]
[文章引用]
[完整記錄]
[館藏目錄]
[檢視]
plurk
funp
live
udn
HD
myshare
netvibes
friend
youpush
delicious
baidu
Google bookmarks
del.icio.us
hemidemi
facebook
twitter
google
reddit