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台灣衍生性金融商品市場實證與運用研究文獻回顧與展望

240

王毓敏與謝志正,

2009

,預測股價指數波動率-新

VIX

與長期記憶模型之比較,

中山

管理評論

17

1

期:

11-45

(Wang, Yu-Min, and Hsieh, Chih-Cheng. 2009.

Forecasting stock index volatility: A comparison between new VIX and long

memory model.

Sun Yat-Sen Management Review

, 17 (1): 11-45.)

石百達與李娓瑋,

2005

,租稅減讓或定額補貼-實質選擇權之探究,

管理學報

22

5

期:

671-678

doi: 10.6504/JOM.2005.22.05.06 (Shih, Pai-Ta, and Lee, Wei-

Wei. 2005. Tax credits or lump-sum subsidies

The real option approach.

Journal

of Management

, 22 (5): 671-678. doi: 10.6504/JOM.2005.22.05.06)

吳佳蓁與謝舒帆,

2013

,實施

SPAN

保證金計收制度對台灣期貨市場品質的影響,

理與系統

20

1

期:

139-164

(Wu, Chia-Chen, and Hsieh, Shu-Fan. 2013.

The effects of SPAN margins system on futures market liquidity, volatility and

price efficiency: The case of Taiwan.

Journal of Management & Systems

, 20 (1):

139-164.)

吳博欽與鄭哲惠,

2006

,企業生命週期、產業別與股權評價:

Real Option

Ohlson

Model

之比較,

會計評論

43

期:

95-121

doi: 10.6552/JOAR.2006.43.5 (Wu,

Po-Chin, and Cheng, Che-Hui. 2006. Business life cycle, industry and equity

valuation: The comparison between real option and Ohlson models.

International

Journal of Accounting Studies

, 43: 95-121. doi: 10.6552/JOAR.2006.43.5)

吳琮璠、張志宏與王全三,

2012

,期貨商風險資本之計提:

ANC

BIS

的比較,

貨與選擇權學刊

5

2

期:

1-28

(Wu, Chung-Fern, Chang, Matthew Chih-

Hung, and Wang, Chuan-San. 2012. Calculation of risk-based capital requirement

for FCMs: A comparison of ANC and BIS requirements.

Journal of Futures and

Options

, 5 (2): 1-28.)

李正文與黃良錦,

2006

,臺灣地區專業期貨經紀商經營績效之研究,

證券市場發展季

18

3

期:

73-115

doi: 10.6529/RSFM.2006.18(3).3 (Lee, Cheng-Wen,

and Huang, Liang-Chin. 2006. The study of operating performance on Taiwan

futures commission merchants.

Review of Securities and Futures Markets

, 18 (3):

73-115. doi: 10.6529/RSFM.2006.18(3).3)

李存修、黃思綺與張睿倩,

2012

,店頭衍生性商品之集中結算與風險管理,

期貨與選

擇權學刊

5

1

期:

37-78

(Lee, Tsun-Siou, Huang, Szu-Chi, and Chang, Jui-

Chien. 2012. Central clearing of OTC derivatives and risk management.

Journal

of Futures and Options

, 5 (1): 37-78.)

李存修、盧佳鈺與江木偉,

2006

,台指選擇權隱含波動率指標之資訊內涵,

證券市場

發展季刊

17

4

期:

1-42

doi: 10.6529/RSFM.2005.17(4).1 (Lee, Tsun-Siou,