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臺大管理論叢

27

卷第

2

245

53-74

doi: 10.6656/MR.2003.22.1.CHI.53 (Chang, Chiung-Chiao, and Goo,

Yeong-Jia. 2003. The information transmission and price volatility between spot

and stock index futures markets in TAIFEX: Using bivariate EGARCH-X and

intervention models.

Management Review

, 22 (1): 53-74. doi: 10.6656/MR.2003.

22.1.CHI.53)

莊益源、賴靖宜、王雅晴與薛愛潔,

2014

,臺指選擇權非同步交易時段之資訊內涵,

臺 大 管 理 論 叢

24

S1

期:

1-27

doi: 10.6226/NTURM2014.AUG.D06

(Chuang, I-Yuan, Lai, Jing-Yi, Wang, Ya-Ching, and Xue, Ai-Jie. 2014.

Information content of nonsynchronous trading for Taiwan stock index options.

NTU Management Review

, 24 (S1): 1-27. doi: 10.6226/NTURM2014.AUG.D06)

許美滿與鍾惠民,

2009

,無模型設定隱含波動性模型預測績效-台指選擇權市場實證,

期貨與選擇權學刊

2

1

期:

33-68

(Hseu, Mei-Maun, and Chung, Hui-

Min. 2009. Forecasting performance of model-free implied volatility for the

Taiwan option market.

Journal of Futures and Options

, 2 (1): 33-68.)

許溪南、何怡滿與許羽呈,

2012

,台指選擇權預期報酬率之探討,

證券市場發展季刊

24

2

期:

179-214

doi: 10.6529/RSFM.2012.24(2).5 (Hsu, Hsi-Nan, Ho,

Emily, and Hsu, Yu-Cheng. 2012. Expected returns on TAIEX options.

Review of

Securities and Futures Markets

, 24 (2): 179-214. doi: 10.6529/RSFM.2012.

24(2).5)

許溪南、吳依正與黃金生,

2009

,臺灣股價指數的股利估計及其對台指期貨定價的影

響,

經濟研究

45

1

期:

103-141

(Hsu, Hsi-Nan, Wu, Yi-Chen, and Huang,

Chin-Sheng. 2009. Estimation of TAIEX’s dividend payouts and impacts on the

pricing of TAIEX index futures.

Taipei Economic Inquiry

, 45 (1): 103-141.)

許溪南、林昭賢與陳浚泓,

2005

B-S

模式與隨機波動性定價模式之比較:台指選擇

權之實證,

中山管理評論

13

4

期:

837-871

(Hsu, Hsi-Nan, Lin, Chao-

Hsien, and Chen, Jiun-Hung. 2005. A comparison between B-S model and

stochastic volatility option pricing models: Empirical evidence from TAIEX

options.

Sun Yat-Sen Management Review

, 13 (4): 837-871.)

許溪南、徐守德、郭玟秀與鄭麗慧,

2007

,外資介入對台股指數與指數期貨正逆價差

之影響,

經濟研究

43

1

期:

65-91

(Hsu, Hsi-Nan, Shyu, David, Kuo,

Wen-Hsiu, and Tee, Leap-Foi. 2007. The impact of foreign capital on the basis

between Taiwan stock market and futures market.

Taipei Economic Inquiry

, 43

(1): 65-91.)

許溪南、詹世煌與謝宗祐,

2000

,選擇權隱含波動性與標的資產歷史波動性及選擇權