| Reference: | 英文部分（依作者姓氏字母排列）
Beckers, S.(1981), “Standard deviations implied in option prices as predictors of future stock price variability”, Journal of Banking and Finance, vol. 5, 363-381.
Blair, Bevan J., Poon, Ser-Huang and Stephen J. Taylor, (2001), “Forecasting S&P 100 volatility : The incremental information content of implied volatilities and high frequency index returns”, Journal of Econometrics, vol. 100, 5-26
Bollerslev, Tim (1986), “Generalized autoregressive conditional heteroscedasticity ”, Journal of Econometrics, vol. 31, 307-327.
Brenner, Menachem, Courtadon, Georges and Marti Subrahmanyam, (1985), “Options on the spot and options on futures”, Journal of Finance, vol. 60, No.5, 1303-1317
Breusch, T. S. (1978), “Testing for autocorrelation in dynamic linear models”, Australian Economic Papers, vol. 17, 344-355.
Canina, Linda and Stephen Figlewski, (1993), “The informational content of implied volatility”, The Review of Financial Studies, vol. 6, No. 3, 659-681
Christensen, B.J. and N.R. Prabhala, (1998), “The relation between implied and realized volatility”, Journal of Financial Economics, vol. 50, 125-150
Davidson, Russell and James G. MacKinnon, (1981), “Several tests for model specification in the presence of alternative hypotheses”, Econometrica, vol. 49,781-793.
Day, Theodore E. and Craig M. Lewis, (1992), “Stock market volatility and the information content of stock index options”, Journal of Econometrics, vol. 52, 267-287
Dickey, D. A. and W. A. Fuller, (1979), “ Distribution of the estimates for autoregressive time series with a unit root”, Journal of the American Statistical Association, vol. 74, 427-431.
Dickey, D.A. and W.A. Fuller, (1981), “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”, Econometrica, vol. 49, 1057-1072.
Durbin, J., and G. S. Watson, (1950), ”Testing for serial correlation in least squares regression”, Biometrika, vol. 37, 409-428; vol. 38, 1951, 159-178.
Ederington, H. Lewis and Wei Guan, (2002), “Measuring implied volatility: Is an average better? Which average?”, Journal of Futures Markets, vol. 22, No. 9, 811-837
Enders, W. (1995), Applied Econometric Time Series, John Wiley & Sons, Inc.
Enders, W. (1996), RATS Handbook for Econometric Time Series, John Wiley & Sons, Inc.
Engle, Robert F. (1982), “Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation”, Econometrica, vol. 50, 987-1008.
Fleming, Jeff (1998), “The quality of market volatility forecasts implied by S&P 100 index option prices”, Journal of Empirical Finance, vol. 5, 317-345
Godfrey, L. G. (1978), “Testing against general autoregressive and moving average error models when the regressors include lagged dependent variables”, Econometrica, vol. 46, 1293-1302.
Granger, C.W.J. and P. Newbold, (1974), “Spurious Regressions in Econometrics”, Journal of Econometrics, vol. 2, 111-120
Han, Li-Ming and Lalatendu Misra, (1990), “The relationship between the volatilities of the S&P 500 index and futures contracts implicit in their call option prices”, Journal of Futures Markets, vol. 10, No. 3, 273-285
Harvey, C. and R. Whaley, (1991), “S&P 100 index option volatility”, The Journal of Finance,vol. 46,1551-1561.
Harvey, C. and R. Whaley, (1992), “Market volatility prediction and the efficiency of the S&P 100 index option market”, Journal of Finance Economics, vol. 31, 43-74.
Hull, J., Options, futures and other derivatives, 4th edition, Prentice Hall, Inc.
Hull, J. and A. White, (1987), “The pricing of options on assets with stochastic volatility”, The Journal of Finance, vol. 42, 281-300.
Jorion, P. (1995), “Predicting volatility in the foreign exchange market”, The Journal of Finance, vol. 50, no. 2, 507-528.
Mizon, E. Grayham and J. F. Richard, (1986), “The encompassing principle and its application to testing nonnested hypotheses”, Econometrica, vol. 54, 657-678.
Nelson, C. R. and Startz, R. (1990), “The distribution of the instrumental variable and its t-ratio when the instrument is a poor one”, Journal of Business, vol. 63, S125-S140.
Nelson, C. R.and Startz, R. (1990), “Some further results on the exact small sample properties of the instrumental variable estimator”, Econometrica, vol. 58, 967-976.
Nerlove, M. and K. F. Wallis, (1966), “Use of the Durbin-Watson statistic in inappropriate situations”, Econometrica, vol. 34, 235-238.
Shastri, K. and K. Tandon, (1986), “On the use of European models to price American options on foreign currency”, Journal of Futures Markets, vol. 6, 93-108.
Stoll, H. R. and R. E. Whaley, (1988), “The dynamics of stock index and stock index futures returns”, The Fuqua School of Business, Duke University, working paper 88-101.
Tsay, R. S. (1989), “Testing and modeling threshold autoregressive processes”, Journal of American Statistical Association, vol. 93, 1188-1202.
Tsay, R. S. (2002), Analysis of Financial Time Series, John Wiley & Sons, Inc. |
