|
參考文獻 張焯然,1991,「台股指數期貨動態避險效果之探討」,台灣管理學刊,第1卷第3期,pp.151-164。 Alexander, C.O., Market Models: A Guide to Financial Data Analysis, New York:John Wiley & Sons, Ltd, 2001. Akaike, H., 1973, "Information Theory and the Extension of the Maximum Likelihood Principle," Proceedings of the Second International Symposium on Information Theoey, Budapest, Akedemiai Kiado, pp.267-281. Anderson, R.W., and J.P. Danthine, 1981, "Cross Hedhing," Journal of Politicak Economy, 81,pp.1182-1196. Baillie, R.T., and R.J. Myers, 1991, "Bivariate GARCH Estimation of Optimal Commodity Futures Hedge," Journal of Applied Econometrics, 6, pp.109-124. Baillie, R.T., and T. Bollerslev, 1990, "A Multivariate Generalized ARCH Approach to Modeling Risk Premia in Forward Foreign Exchange Rate Markets," Journal of International Money and Finance, 9, pp.309-324. Beenstock, M., and A. Vergottis, 1989, "An Econometric Model of the World Market for Dry Cargo Freight and Shipping, "Applied Economics, 21, pp.339-356. Bera, A.K., and M.L. Higgins, 1992, "A Test for Conditional Heteroskedasticity in the Time Series Models," Journal of Time Series Analysis, 13, pp.501-519. Bera, A.K., and S. John, 1983, "Tests for Multivariate Normality with Pearson Alternatives," Communications in Statistics: Theory and Method, 12(1), pp.103-117. Berg-Andreassen, J.A., 1997, "The Relationship between Period and Spot Rates in International Maritime Markets," Maritime Policy & Management, 24, 4, pp.335-350. Berndt, E. K., B.H. Hall, and R.E. Hall, and J.A. Hausman, 1974, "Estimation and Inference in Nonlinear Structural Models," Annals of Economic and Social Measurement, 4, pp.653-665. Bollerslev, T., 1986, "Generalized Autoregressive Conditional Heteroskedasticity," Journal of Econometrics, 31, pp.307-327. Bollerslev, T., 1990, "Modeling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized ARCH Model," Review of Economics and Statistics, 72, pp.498-505. Bollerslev, T., and R.F. Engle, 1993, "Common Persistence in Conditional Variances, "Econometrica, 61, pp.167-186. Bollerslev, T., R.Y. Chou, and K.F. Kroner, 1992, "ARCH Modeling in Finance. A Review of the Theory and Empirical Evidence," Journal of Econometrics, 52, pp.5-59. Bollerslev, T., R.F. Engle, and J. Woolridge, 1988, "A Capital Asset Pricing Model with Time-Varying Co-variances," Journal of Political Economy, 96, pp.116-131. Bollerslev, T., and J. Wooldridge, 1992, "Quasi-Maximum Likelihood Estimation and Inference by Dynamic Models with Time-Varying Covariances," Econometric Reviews , 11, pp.143-172. Bos, T., and P. Newbold, 1984, "An Empirical Investigation of the Possibility of Stochastic Systematic Risk in the Market Model," Journal of Business, 57, pp.35-41. Box, G.E.P., and D.A. Pierce, 1970, "Distribution of Residual Autocorrelations in Autoregressive-Integrated-Moving Average Time Series Models," Journal of the American Statistical Association, 65, pp.1509-1525. Box, G.E.P., and J.M. Jenkins, 1976, "Time Series Analysis: Forecasting and Control, "(Holden-Day, San Francisco, CA). Brock, W.A., D.A. Hsieh, and B. LeBaron, "Nonlinear Dynamics, Chaos and Instability," (MIT Press. Cambridge.MA) Forthcoming. Cecchetti, S.G., R.E., Cumby, and S. Figlewski, 1988, "Estimation of Optimal Hedge, " Review of Economics and Statistics, 50, pp.623-630. Chang, Y.T., 1996, "Predictability of the Dry Bulk Shipping Market by BIFFEX," Maritime Policy & Management, 23, 2, pp.103-114. Clarkson Research, 2002, Shipping Intelligence Network, www.clarksons.net Clarkson Research, 1989/12-2004/01, Shipping Intelligence Weekly, London. Davies, R.B., 1977, "Hypothesis Testing When a Nuisance Parameter is Present only Under the Alternative," Biometrika, 74, pp.33-43. Dickey, D. A., and W. A. Fuller, 1981, "Likelihood Ratio Tests for Autoregressive Time Series with a Unit Root," Econometrica, 49, pp.1057-1072. Ding, Z., C.W.J. Granger, and R.F. Engle, 1993, "A Long Memory Property of Stock Market Returns and a New Model, " Journal of Empirical Finance, 1, pp.83-106. Duan, J-C., 1995, "The GARCH Option Pricing Model," Mathematical Finance, 5(1), pp.13-32. Engle, R.F., 1982, "Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, 50, pp.987-1007. Engle, R.F., 1993, "Statistical Models for Financial Volatility," Financial Analysis Journal, Jan.-Feb., pp.72-78. Engle, R.F., and T. Bollerslev, 1986, "Modelling the Persistence of Conditional Variances, "Econometric Reviews, 5(1), pp.1-50. Engle, R.F., and C.W.J. Granger, 1987, "Co-integration and Error Correction: Representation, Estimation and Testing," Econometrica, 55, pp.251-276. Engle, R.F., and V.K. Ng, 1993, "Measuring and Testing the Impact of News on Volatility," The Journal of Finance, 48, pp.1749-1778. Engle, R.F., and K.F. Kroner, 1995, "Multivariate Simultaneous Generalized ARCH," Econometric Theory, 11, pp.122-150. Episcopos, A., 1996, "Stock return volatility and time-varying betas in the Toronto Stock Exchange," Quarterly Journal of Business Economics, 4, pp.28-38. Erb, C., C. Harvey, and T. Viskanta, 1994, "Forecasting International Equity Correlations," Financial Analysts Journal, 50, pp.32-45. Fama, E.F., 1965, "The behaviour of Stock Market Prices," Journal of Business, 38, pp.34-105. Glosten, L.R., R. Jagannathan, and D. Runkle, 1993, "On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," The Journal of Finance, 48, pp.1779-1801. Gregory, A.W., 1989, "A Non-Parametric Test for Autoregressive Conditional Heteroskedasticity: A Markov-Chain Approach," Journal of Business and Economic Statistics,5, pp.315-327. Hausman, J.A., 1978, "Specification Tests in Econometrics," Econometrica, 46, pp.1251-1272. Hawdon, D., 1978, "Tanker Freight Rates in the Short and Long Run," Applied Economics, 1, 10, pp.203-217. Jarque, C.M., and A.K. Bera, 1980, "Efficient Tests for Normality, Homoskedasticity and Serial Independence of Regression Residuals," Economic Letters, 6, pp..255-259. Johansen, S., 1988, "Statistical Analysis of Cointegration Vectors," Journal of Economic Dynamics and Control, 12, pp.231-254. Johansen, S., and K. Juselius, 1990, "Maximum Likelihood Estimation and Inference on Cointegration with Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, 52(2), pp.169-210. Kanas, A., 1998, "Volatility Spillovers across Equity Markets: European Evidence," Applied Financial Economics, 8, pp.245-56. Kavussanos, M. G., and A. Alizadeh, 2001, "The Expectation Hypothesis of the Term Structure and Risk Premia in Dry Bulk Shipping Freight Markets," Journal of Transport Economics and Policy, pp.65-76. Kavussanos, M.G., 1996a, "Comparisions of Freight Market Volatility in the Dy-Cargo Ship Sector. Spot v.s. Time-Charter and Smaller v.s. Larger Vessels," Journal of Transport Economics and Policy, XXX1, pp.67-82. Kavussanos, M.G., 1996b, "Price Risk Modeling of Different Size Vessels in the Tanker Industry using Autoregressive Conditional Heteroskedastic(ARCH)Models, " The Logistics and Transportation Review, 32(2), pp.161-176. Kavussanos, M.G., 1997, "The Dynamics of Time-Varying Volatilities in Different Size Second-Hand Ship Prices of the Dry-Cargo Sector," Applied Economics, 29, pp.433-443. Kavussanos, M.G., and N.K. Nomikos, 2000, "Constant v.s. Time-Varying Hedge Ratios and Hedging Efficient in the BIFFEX Market," Transportation Research Part E , 36, pp.229-248. Koopmans, T.C., 1939, "Tanker Freight Rates and Tankship Building." Haarlem, Hollow: F. Bohn. Koutmos, G., and R. Saidi, 1995, "The leverage effect in individual stocks and the debt to equity ratio," Journal of Business Finance and Accounting, 22, pp.1063-1075. Kroner,K.F., and J. Sultan, 1993, "Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures," Journal of Financial and Quantitative Analysis, 63, pp.535-551. Ljung, G.M., and G.E.P. Box, 1978, "On a Measure of Lack of Fit in Time Series Models," Biometrika, 65, pp.297-303. Longin, F., and B. Solnik, 1995, "Is the Correlation in International Equity Returns Constant: 1960-1990?" Journal of International Money and Finance, 14, pp.3-26. Markowitz, H. M., 1952, "Portfolio Selection," Journal of Finance, 7( March), pp.77-91. Myers, R.J., 1991, "Estimating Time-Varying Optimal Hedge Ratio on Futures Markets," Journal of Futures Markets, 11, pp.39-53. Nelson, C.R., and M.J. Kim, 1993, "Predictable Stock Returns: The Role of Small Sample Bias," Journal of Finance, 48, pp.641-661. Nelson, D.B., 1990, Stationarity and Persistence in the GARCH(1,1) Models, Econometric Theory, 6, 318-334. Nelson, D.B., 1991, "Conditional Heteroskedasticity in Asset Return: A New Approach," Econometrica, 59, pp.347-70. Newey, W., and K.D. West, 1987, "A Simple, Positive, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, 55, pp.703-705. Pagan, A.R., 1980, "Some Identification and Estimation Results for Regression Models with Stochastically Varying Coefficients," Journal of Econometrics, 13, pp.341-363. Park, H.Y., and A.K. Bera, 1987, "Interest-Rate Volatility, Basis Risk and Heteroskedasticity in Hedging Mortgages," AREUEA Journal, 5, pp.79-97. Park, T.H., and L.N. Switzer, 1995, "Bivariate GARCH Estimation of the Optimal Hedge Ratios for Stock Index Futures: A Note," Journal of Futures Markets, 15, pp.61-67. Phillips, P.C.B., and P. Perron, 1988, "Testing for a Unit Root in Time Series Regressions," Biometrika, 75, pp.335-346. Robinson, P. M., 1991, "Testing for Strong Serial Correlation and Dynamic Conditional Heteroskedasticity in Multiple Regression," Journal of Econometrics, 47, pp.67-84. Schwert, G.W., 1978, "Estimating the Dimension of a Model, " Annals of Statistics, 6, pp.461-464. Schwert, G.W., 1989, "Why does Stock Market Volatility Change over Time," Journal of Finance, 44, pp.1115-1153. Schwert, G.W., and P.J. Seguin, 1990, "Heteroskedasticity in Stock Returns," Journal of Financial Economics, 5, pp.309-327. Sentana, E., 1995, "Quadratic ARCH Models," Review of Economic Studies, 62, pp.639-661. Shen, C. H., and L.R. Wang, 1998, "Daily serial correlation, trading volume and price limits: Evidence from the Taiwan Stock Market," Pacific Basin Finance Journal, 6, pp.251-73. Taylor, S.J., 1994, "Modeling Stochastic Volatility: A Review and Comparative Study, "Mathematical Finance, 4(2), pp.183-204. Tsay, R.S., Analysis of Financial Time Series, John Wiley & Sons, Inc, U.S.A. , 2002. Tse, Y.K., and A.K.C. Tsui, 1998, "A Multivariance GARCH Model with Time-Varying Correction, working paper," Department of Economics, National University of Singapore. Zakoian, J.M., 1994, "Threshold Heteroskedastic Models, "Journal of Economic Dynamics and Contol, 18, pp.931-55.
|