研發績效
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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
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
Is trading in the shortest-term index options profitable?, Review of Derivatives Research, 1-33
2018
期刊
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
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
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
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
Tests of the Performance of Structural Models in Bankruptcy Prediction, Journal of Credit Risk, 6, 2
期刊
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
2008
期刊
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
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
期刊
Sources of Credit Risk: Evidence from Credit Default Swaps, Journal of Fixed Income, Institutional Investor, 16, 3, 1-15
