研發績效

期刊: 13 筆

獲獎: 0 筆
研討會: 9 筆

技術報告: 0 筆
專書: 0 筆

計畫案: 6 筆

2022


期刊   潘璟靜, 許永明*, 吳土城, Can risk-neutral skewness and kurtosis subsume the information content of historical jumps?, Journal of Financial Markets, 57, 0, 1-15

2019


研討會   臺指風險中立動差之波動度資訊內容, 期貨學術與實務交流研討會, 臺北市, 中華民國, 394-417
期刊   許永明*, 吳土城, Is trading in the shortest-term index options profitable?, Review of Derivatives Research, 1-33

2018


期刊   許永明*, 吳土城, Analysis of the Clientele Effect and the Information Content of Short-term Index Option Returns in Taiwan, The Journal of Futures Markets, 38, 6, 715-730
期刊   吳土城*, 曾雲蘭, 臺指選擇權日內報酬率與投資人情緒, 證券市場發展季, 30, 1, 49-80

2016


期刊   臺指選擇權市場資訊反應之探討, 中國統計學報, 54, 3

2015


研討會   一券在手、希望無窮, 2015南臺灣財金學術聯盟暨海峽兩岸學術論文研討會, 高雄, 中華民國
期刊   Investor Beliefs and the Demand Pressure on Index Options in Taiwan, Journal of Futures Markets, 35, 12

2014


研討會   吳土城*, 臺指選擇權市場資訊反應之探討, 2014 南台灣財金學術聯盟年會暨海峽兩岸學術論文研討會, 高雄市, 中華民國
期刊   許永明*, 吳土城, The Effects of Stochastic Volatility and Demand Pressure on the Monotonicity Property Violations, Journal of Derivatives, 22, 1, 90-102

2013


研討會   吳土城, 許永明, Investor Beliefs and the Demand Pressure of Options, 21st Conference on the Theories and Practices of Securities and Financial Markets, 高雄市, 中華民國
期刊   吳土城*, 以套利策略探討臺指微笑現象, 中國統計學報, 51, 530-562

2012


研討會   柯偉婷, 吳土城*, 臺指選擇權交易量與偏態的資訊內含, 2012南台灣財金學術聯盟年會暨海峽兩岸學術論文研討會, 高雄市, 中華民國

2011


研討會   吳土城*, 臺指選擇權隱含波動度之資訊內涵, 2011商學與資訊國際學術研討會, 高雄市, 中華民國

2010


研討會   吳土城*, 林淑惠, 次貸危機與台指波動度風險溢酬, 2010台灣財務金融學會年會暨中部財金學術聯盟研討會, 南投縣, 中華民國
研討會   吳土城*, 台股指數極值波動度之研究, 2010全球商業經營管理學術研討會, 高雄市, 中華民國
期刊   許永明*, 林淑惠, 吳土城, Impact of Net Buying Pressure on Changes in Implied Volatility: Before and After the Onset of The Subprime Crisis, Journal of Derivatives, 17, 4, 54-66
期刊   Frank Fabozzi, Ren-Raw Chen, Shing-yang Hu, Tests of the Performance of Structural Models in Bankruptcy Prediction, Journal of Credit Risk, 6, 2

2008


期刊   潘璟靜*, 吳土城, 存在賣方違約風險之選擇權定價, 財務金融學刊, 台灣財務金融學會, 16, 1, 113-140

2006


研討會   Ren-Raw Chen*, Frank J. Fabozzi, 潘璟靜, Ronald Sverdlove, Testing Nested Structural Models, 2006 Annual Meeting of Financial Management Association, Salt Lake City, 中華民國, 1-27
期刊   陳仁遶*, Frank J. Fabozzi, 潘璟靜, Ronald Severdlove, Sources of Credit Risk: Evidence from Credit Default Swaps, Journal of Fixed Income, Institutional Investor, 16, 3, 1-15
期刊   李怡宗*, 潘璟靜, The Tendency of Firm Managers to Avoid Small Losses, Advances in Quantitative Analysis of Finance and Accounting, Cheng-Few Lee , Rutgers University at New Brunswick, NJ, USA, 14 , 195-218