管理科学与工程学院投资学专业博士研究生主文献库(三)
发布时间:2014-05-30 15:13:11 【 】 浏览:512
 

56. Hasbrouck, J. and T. Ho, 1987, "Order Arrival, Quote Behavior, and the Return-Generating Process," Journal of Finance 42, 1035-1048.

57. Hasbrouck, J., and D. Seppi, 2001, “Common Factors in Prices, Order Flows and Liquidity,” Journal of Financial Economics 59, 383-411.

58. Lee, C. and M. Ready, 1991, "Inferring Trade Direction from Intraday Data," Journal of Finance 46, 733-746.

59. Pastor, L. and R. Stambaugh, 2003, “Liquidity Risk and Expected Stock Returns,” Journal of Political Economy 111, 642-685.

60. Wood, R., McInish, T. and K. Ord, 1985, "An Investigation of Transactions Data for NYSE Stocks," Journal of Finance 40, 723-738.

61. George, T., G. Kaul and M. Nimalendran, 1991, "Estimation of the Bid-Ask Spread and its Components: A New Approach," Review of Financial Studies 4, 623-656.

62. Glosten, L. and L. Harris, 1988, "Estimating the Components of the Bid/Ask Spread," Journal of Financial Economics 21, 123-142.

63. Harris, L., 1986, “A Transaction Data Study of Weekly and Intradaily Patterns in Stock Returns,” Journal of Financial Economics 16, 99-117

63. Harris, L., 1991, "Stock Price Clustering and Discreteness," Review of Financial Studies 5, 389-415.

64. Hausman, J., Lo, A. and C. MacKinlay, 1991, "An Ordered Probit Analysis of Transaction Stock Prices," Journal of Financial Economics 31, 319-379.

65. Roll, R., 1984, "A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market," Journal of Finance 39, 1127-1139.

66. Thompson, R., 1985, "Conditioning the Return-Generating Process on Firm Specific Events: A Discussion of Event Study Methods," Journal of Financial and Quantitative Analysis 20, 151-168.

67. Fama, E., Fisher, L., Jensen, M. and R. Roll, 1969, "The Adjustment of Stock Prices to New Information," International Economic Review 10, 1-21.

68. Boehmer, E., Musumeci, J. and A. Poulsen, 1991, "Event-Study Methodology Under Conditions of Event-Induced Variance," Journal of Financial Economics 30, 253-272.

69. Brown, S. and J. Warner, 1985, "Using Daily Stock Returns: The Case of Event Studies," Journal of Financial Economics 14, 3-31.

70. Ait-Sahalia, Y., 1996, “Testing Continous-time Models of the Spot Interest Rate,” Review of Financial Studies, 9, 385-426.

71. Ait-Sahalia, Y., 2004, “Disentangling Diffusion from Jumps,” Journal of Financial Economics, 74, 487

72. Ait-Sahalia, Y and J. Jacod, 2005, “Fisher’s Information for Discretely Sampled Levy Processes,” Working paper, Department of Economics, PrincetonUniversity

73. Andersen, T.G., 1996, “Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility”, Journal of Finance 51, 169-204

74. Piazzesi, M. 2003, “Bond Yields and the Federal Reserve,” Journal of Political Economy, 113, 311-344

75. Andersen, T.G., T. Bollerslev and F.X. Diebold, 2005, “Roughing It Up: Including Jump components in the Measurement, Modeling and Forecasting of Return Volatility,” Working Paper,NorthwesterUniversity,DukeUniversityandUniversityofPennsylvania

76. Andersen, T., T. Bollerslev, F. Diebold, and C. Vega, 2003, “Micro Effects Macro Announcements: Real-time Price Discovery in Foreign Exchange,” American Economic Review, 93, 38-62

77. Andersen, T., T. Bollerslev, P.H. Frederiksen, and M.O. Nielsen, 2006, “Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns,” Working Paper, Northwestern University

78. Andersen, T, L. Benzoni, and J. Lund, 2002, “An Empirical Investigation of Continuous-time Equity Return Models,” Journal of Finance, 57, 1239-1284

79. Bakshi, G., C. Cao, and Z. Chen, 1997, “Empirical Performance of Alternative Option Pricing Models”, Journal of Finance, 52, 2003-2049

80. Bakshi, G. C. Cao and Z. Chen, 2000, “Pricing and Hedging Long-Term Options”, Journal of Econometrics, 94, 277-318

81. Bakshi, G.,N. Kapadia, and D. Madan, 2003, “Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options”, Review of Financial Studies, 16, 101-143

82. Bakshi, G.,N. Yu, and H. Ou-Yang, 2005, “Estimation of Continous-time Models with an Application of Equity Volatility”, forthcoming Journal of Financial Economics

83. Barndorff-Nielsen , O.E. and N. Shephard, 2004, “Power and Bipower Variation with Stochastic Volatility and Jumps”, Journal of Financial Econometrics, 2, 1-48

84. Barndorff-Nielsen, O.E. andN. Shephard, 2005, “Variation, Jumps, Market Frictions and high frequency data in financial econometrics”, Discussion Paper,UniversityofAarhus

85. Barndorff-Nielse, O.E. and N. Shephard, 2006, “Econometrics of Testing for Jumps in Financial Economics using Bipower Variation,” Journal of Financial Econometrics, 4, 1-30

86. Bates, D. S., 1996, “Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsch Mark Options,” Review of Financial Studies, 9, 69-107

87. Bates, D.S., 2000, “Post-’87 Crash Fears in the S&P 500 Futures Options Markets,” Journal of Econometrics, 94, 181-238

88. Bertsimas, D., L. Kogan, and A. Lo, 2001, “Hedging Derivative Securities and Incomplete Markets: An Epsilon-Arbitrage Approach,” Operations Research, 49, 372-397

89. Black, F and M. Scholes, 1973, “The Pricing options and corporate liabilities,” Journal of Political Economy 81, 637-654

90. Carr, P. and L. Wu, 2003, “The Finite Moment log Stable Process and Option Pricing,” Journal of Finance 58, 753-777

91. Carr, P. and L. Wu, 2004, “Time-Changed Levy Processes and Option Pricing,” Journal of Financial Economics, 71, 113-141

92. Chernov, M., A.R. Gallant, E. Ghysels, and G. Tauchen, 2003, “Alternative Models for Stock Price Dynamics,” Journal of Econometrics, 116,225-257

93. Cox, J.T., J.E. Ingersoll, andS.A.Ross, 1985, “A Theory of the Term Structure of Interest Rates,” Econometrica, 53, 385-407

95. Dubinsky, A. and M. Johannes, 2006, Earnings Announcements and Option Prices,” Working Paper, GraduateSchoolofBusiness,ColumbiaUniversity

96. Duffie, D., J. Pan, and K. Singleton, 2000, “Transform Analysis and Asset Pricing for Affine Jump

Diffusions,” Econometrica, 68, 1343-1376

97. Eraker, B., M. Johannes, and N. Polson, 2003, “The Impact of Jumps in Volatility and Returns,” Journal of Finance, 53, 1269-1300

101. Huang, X. and G. Tauchen, 2005, “The Relative Contribution of Jumps to Total Price Variance,” Journal of Financial Econometrics 3, 456-499

102. Huang, J. and L. Wu, 2003, “Specification analysis of option pricing models based on time-changed Levy processes,” Journal of Finance 59, 1405-1439

103.Hull, J.C. and A. White, 1987, “The pricing of options on assets with stochastic volatilities,” Journal of Finance 42, 281-300

105. Heston, S., 1993, “A Closed-Form Solutions for Options with Stochastic Volatility with Applications to Bonds, Currency Options,” Review of Financial Studies, 6, 327-343

106. Johannes, M. 2004, “The statistical and Economic Role of Jumps in interest rates,” Journal of Finance, 59, 227-260

107. Lee, S and P. A. Mykland, 2006, “Jumps in Financial Markets: A New Nonparametric test and Jump Dynamics”, forthcoming at the Review of Financial Studies.

108. Li, H., M.T. Wells, and C.L. Yu, 2006, “A Bayesian Analysis of Return Dynamics with Levy Jumps,” forthcoming at Review of Financial Studies

109. Liu, J., F. Longstaff, and J. Pan, 2003, “Dynamic Asset Allocation with Event Risk”, Journal of Finance, 58, 231-259

110. Madan, D., P. Carr, andE. Chang, 1998, “The Variance Gamma Process and Option Pricing,” European Finance Review 2, 79-105

111. Maheu, J.M. and T.H. McCurdy, 2004, “News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns,” Journal of Finance 59, 755-793

112. Merton, R.C., 1976, “Option Pricing when Underlying Stock Returns are Discontinuous,” Journal of Financial Economics, 3, 125-144

113. Naik, V. and M. Lee, 1990, “General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns,” Review of Financial Studies, 3, 493-521

114. Pan, J., 2002, “The Jump Risk Premia Implicit in Options: Evidence from an Integrated Time-series Study,” Journal of Financial Economics, 63, 3-50

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