:::

詳目顯示

回上一頁
題名:不對稱GARCH族模型預測能力之比較研究
書刊名:輔仁管理評論
作者:蔡麗茹 引用關係葉銀華 引用關係
作者(外文):Tsai, Li-juYeh, Yin-hua
出版日期:2000
卷期:7:1
頁次:頁183-196
主題關鍵詞:不對稱GARCH模型槓桿效果效率檢定預測涵蓋檢定Asymmetric GARCH modelLeverage effectEfficiency testForecast-encompassing test
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(4) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:4
  • 共同引用共同引用:44
  • 點閱點閱:18
期刊論文
1.Kuwahara, H.、Marsh, T.(1992)。The pricing of Japanese equity warrants。Management Science。  new window
2.Bates, J. M.、Granger, C. W. J.(1968)。The combination of Forecasts。Operational Research Quarterly,20,451-468。  new window
3.Bera, A. K.、Higgins, M. L.(1993)。A survey of ARCH models: Properties, estimation and testing。Journal of Economic Surveys,7(4),305-366。  new window
4.Brailsford, T. J.、Faff, R. W.(1996)。An evaluation of volatility forecasting techniques。Journal of Banking and Finance,20,419-438。  new window
5.Chong, Y. Y.、Hendry, D. F.(1986)。Econometric evaluation of linear macroeconomic models。Review of Economic Studies,53,671-690。  new window
6.Dimson, E.、Marsh, P.(1990)。Volatility forecasting without data snooping。Journal of Banking and Finance,14,399-421。  new window
7.Engle, R.(1990)。Discussion: Stock market volatility and the crash of 87。Review of Financial Studies,3,103-106。  new window
8.Nelson, D. B.。Conditional heteroscedasticity in asset returns: A new approach。Econometrica,59,347-370。  new window
9.Schwert, G. W.(1970)。Stock Volatility and the Crash of 87。Review of Financial Studies,3(1),77-102。  new window
10.West, Kenneth D.、Cho, Dongchul(1995)。The predictive ability of several models of exchange rate volatility。Journal of Econometrics,69,367-391。  new window
11.Hentschel, L.(1995)。All in the Family Nesting Symmetric and Asymmetric GARCH Models。Journal of Financial Economics,39,71-104。  new window
12.王甡(19950100)。報酬衝擊對條件波動所造成之不對稱效果--臺灣股票市場之實證分析。證券市場發展,7(1)=25,125-161。new window  延伸查詢new window
13.Schwarz, Gideon(1978)。Estimating the Dimension of a model。The Annals of Statistics,6(2),461-464。  new window
14.Day, Theodore E.、Lewis, Craig M.(1992)。Stock Market Volatility and the Information Content of Stock Index Options。Journal of Econometrics,52(1/2),267-287。  new window
15.Engle, Robert F.、Ng, Victor K.(1993)。Measuring and testing the impact of news on volatility。The Journal of Finance,48(5),1749-1778。  new window
16.Akgiray, Vedat(1989)。Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts。The Journal of Business,62(1),55-80。  new window
17.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
18.Bollerslev, Tim、Chou, Ray Y.、Kroner, Kenneth F.(1992)。ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence。Journal of Econometrics,52(1/2),5-59。  new window
19.Campbell, John Y.、Hentschel, Ludger(1992)。No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns。Journal of Financial Economics,31(3),281-318。  new window
20.Christie, Andrew A.(1982)。The Stochastic Behavior of Common Stock Variances: Value, Leverage and Interest Rate Effects。Journal of Financial Economics,10(4),407-432。  new window
21.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
22.Glosten, Lawrence R.、Jagannathan, Ravi、Runkle, David E.(1993)。On the Relation Between the Expected Value and the Volatility on the Nominal Excess Returns on Stocks。Journal of Finance,48(5),1779-1801。  new window
會議論文
1.Black, F.。Studies in stock price volatility changes。The 1976 Business Meeting of the Business and Economics Statistics Section。American Statistical Association。177-181。  new window
研究報告
1.Zakoian, J. M.(1991)。Threshold heteroskedastic models。Paris:Institute National de la Statistique et des Etudes Economiques。  new window
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
:::
無相關書籍
 
無相關著作
 
無相關點閱
 
QR Code
QRCODE