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研究生:薛宇哲
研究生(外文):Yu-Che Hsueh
論文名稱:原油市場波動率風險溢酬與期貨報酬率之研究
論文名稱(外文):Volatility Risk Premium and Futures Price Returns for the Crude Oil Market
指導教授:林丙輝林丙輝引用關係
指導教授(外文):Bing-Huei Lin
口試委員:林盈課林哲群
口試委員(外文):Ying-Ke LinJhe-Cyun Lin
口試日期:2019-06-05
學位類別:碩士
校院名稱:國立中興大學
系所名稱:財務金融學系所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2019
畢業學年度:107
語文別:中文
論文頁數:35
中文關鍵詞:波動率風險溢酬期貨報酬率預測
外文關鍵詞:Volatility Risk PremiumFutures return rate forecast
相關次數:
  • 被引用被引用:0
  • 點閱點閱:80
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
摘要 i
Abstract ii
目次 iii
表目次 v
圖目次 vi
第壹章 研究背景與動機 1
第貳章 文獻回顧 3
第一節 期貨避險 3
第二節 波動率風險 3
第三節 波動率風險溢酬 4
第四節 擴充的平均數-變異數模型 4
第五節 風險中立變異數 9
第六節 實現波動率 9
第參章 研究方法 10
第一節 資料來源 10
第二節 VRP與期貨報酬率計算 10
一、期貨報酬率 10
二、隱含波動度 10
三、實現波動度 11
四、波動率風險溢酬(VRP) 11
第三節 VRP與期貨預期報酬預測 12
一、VRP模型 12
二、期貨預期報酬預測 12
三、變數說明 13
(四) 實驗研究變數 15
第肆章 實證結果 21
第一節 敘述統計量與相關係數 21
第二節 VRP資訊內涵 23
一、VRP資訊內涵-單迴歸模式 23
二、VRP資訊內涵-多元迴歸模式 25
第三節 期貨價格預測 26
一、報酬率預測-單回歸模式 26
二、報酬率預測-多元回歸模式 28
三、建構投資策略 29
第伍章 結論與建議 31
第一節 研究結論 31
第二節 研究建議 32
參考文獻 33
中文文獻 33
英文文獻 33
中文文獻:
林丙輝、張森林、葉仕國 (2016),「台灣衍生性金融商品定價、避險與套利文獻
回顧與展望」,台大管理論叢,Vol. 27,No. 1,pp. 255-304。
林丙輝、張森林、葉仕國 (2017),「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」,台大管理論叢,Vol. 27,No. 2,pp. 211-258。
林岳賢(2004),「波動率風險溢酬之實證研究-以美國FTSE為例」,國立台灣科技大學碩士論文。

英文文獻:
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Adam, T. (2009), "Capital expenditures, financial constraints, and the use of options."
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Anderson, R. and J. P. Danthine (1980), "Hedging and joint production: Theory and
illustrations." Journal of Finance, 35, 487.501.
Anderson, R. and J. P. Danthine (1981), "Cross hedging." Journal of Political Economy,
89, 1182-1196.
Bakshi, G. and N. Kapadia (2003), “Delta-Hedged Gains and the Negative Market
Volatility Risk Premium.” Review of Financial Studies, 16, pp. 527-566.
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,
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Barone-Adesi, G. and R. Whaley (1987), "Efficient analytic approximation of
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premia.” Review of Financial Studies 22, 4463-4492.
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Prices: A Correction.” Journal of Financial Research 25, pp. 279-282.
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15, 1283-1324.
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Implied by Option Prices.” Journal of Financial Research 19, pp. 175-192.
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Options-Implied Probability Densities to Understand Oil Market Events.” International
Finance Discussion Papers, Board of Governors of the Federal Reserve System.
Doran, J.S., Ronn, E.I. (2008), “Computing the market price of volatility risk in the
energy commodity markets.” Journal of Banking and Finance 32, 2541-2552.
Ellwanger, Reinhard (2014), “Driven by Fear? The Tail Risk Premium in the Crude Oil
Futures Market”, Working Paper, 2014.
Gao, Lin (2017), “Commodity Option Implied Volatilities and the Expected Futures
Returns.” Working Paper, 2014. Luxembourg School of Finance, University of
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Expected Futures Returns: Evidence from the Crude Oil”, Working Paper.
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