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題名:小麥期貨價格之預測分析--GARCH模型與ARCH模型之應用
書刊名:臺灣銀行季刊
作者:何京勝蘇倩玉
出版日期:2000
卷期:51:1
頁次:頁289-321
主題關鍵詞:小麥期貨價格GARCH模型ARCH模型
原始連結:連回原系統網址new window
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     本文比較分析固定、同質、異質變異數模型之小麥預測期貨價格之差異、模擬能力及避險效果。根據實證研究結果在OLS、AR、ARCH與GARCH模型中同時考慮期貨價格、交易量、未平倉合約數等變數之模型,其解釋能力較僅考慮單一變數或一種以上變數之任何組合方式為佳。ARCH與GARCH模型除避險效果良好外,其交易成本亦於所有選取模型中為較低者。
期刊論文
1.Ederington, L. H.(1979)。The Hedging Performance of the New Futures Market。Journal of Finance,34(1),157-170。  new window
2.Baldauf, Brad、Santoni, G. J.(1991)。Stock Price Volatility: Some Evidence from an ARCH Model。Journal of Futures Markets,11,191-200。  new window
3.Samuelson, P. A.(1965)。Proof that properly anticipated prices fluctuate randomly。Industrial Management Review,6,41-49。  new window
4.林筠(19900500)。Dynamic AD Justments of the Optimal Hedge Ratio。臺大管理論叢,1(1),285-312。new window  new window
5.Kenyon, David、Kling, Kenneth、Jordan, Jim、Seale, William、McCabe, Nancy(1987)。Factors affecting agricultural futures price variance。Journal of Futures Markets,7(1),73-91。  new window
6.Cecchetti, Stephen G.、Cumby, Robert E.、Figlewski, Stephen(1988)。Estimation of the Optimal Futures Hedge。The Review of Economics and Statistics,70(4),623-630。  new window
7.Anderson, Ronald W.(1985)。Some Determinants of the Volatility of Futures Prices。Journal of Futures Markets,5,331-348。  new window
8.Anderson, Ronald W.、Danthine, J.(1981)。Cross Hedging。Journal of Political Economy,89(6),1182-1196。  new window
9.Pagan, Adrian R.、Schwert, G. William(1980)。Alternative Models for Conditional Stock Volatility。Journal of Econometrics,45,267-290。  new window
10.Jorion, Philippe(1991)。Predicting Volatility in the Foreign Exchange Market。Journal of Finance,50,507-528。  new window
11.Fackler, Paul L.、King, Robert P.(1990)。Calibration of option-based probability assessments in agricultural commodity markets。American Journal of Agricultural Economics,72(1),73-83。  new window
12.Cornell, B.、Reinganum, M.(1981)。Forward and Futures Prices: Evidence from the Foreign Exchange Markets。Journal of Finance,36,1035-1045。  new window
13.Clark, P. K.(1973)。A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices。Econometrica,41(1),135-159。  new window
14.Hudson, Michael A.、Leuthold, Raymond M.、Sarassoro, Gboroton F.(1987)。Commodity Futures Price Changes: Recent Evidence for Wheat, Soybeans and Live Cattle。The Journal of Futures Markets,7,287-301。  new window
15.Gramville(1989)。The Informational Content of Implied Volatility。The Review of Finance Studies,6,659-668。  new window
16.Turner, Steven C.、Houston, Jack E.、Shepherd, Tommie L.(1992)。Supplementary Information and Markov Processes in Soybean Futures Trading。The Journal of Futures Markets,12,61-74。  new window
17.Akgiray, Vedat(1989)。Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts。The Journal of Business,62(1),55-80。  new window
18.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
19.Fama, Eugene F.(1970)。Efficient Capital Markets: A Review of Theory and Empirical Work。The Journal of Finance,25(2),383-417。  new window
20.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
學位論文
1.孫凌(1987)。海京理論在大宗穀物採購策略之應用--黃豆之個案研究(碩士論文)。國立中興大學。  延伸查詢new window
2.郭世美(1995)。臺灣進口玉米最適避險比率之估計:Theextendedmean-giniApproach之應用(碩士論文)。國立中興大學。  延伸查詢new window
3.李宏安(1995)。臺灣黃豆進口採購策略:價格避險之應用(碩士論文)。國立中興大學。  延伸查詢new window
4.白永輝(1991)。期貨交易理論在國內棉花進口採購策略之應用(碩士論文)。東海大學。  延伸查詢new window
5.蔡豐隆(1988)。期貨採購策略在大宗穀物進口之應用--台灣玉米之個案研究(碩士論文)。逢甲大學。  延伸查詢new window
圖書
1.Blank, Steven C.、Carter, Colin A.、Schmiesing, Brian H.(1991)。Futures and Options Markets: Trading in Commodities and Financials。Prentice-Hall。  new window
 
 
 
 
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