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題名：日、韓、港、新與臺灣等亞洲主要股市報酬變異分析--多重波動性狀態馬可夫轉換模型的應用
書刊名：亞太管理評論
作者：黎明淵 引用關係／林修葳 引用關係
作者(外文)：Li, Leon Ming-yuan／Lin, William Hsiou-wei
出版日期：2000
卷期：5:2
頁次：頁183-198
主題關鍵詞：馬可夫轉換模型；ARCH/GARCH模型；股價指數報酬率；Markov-switching model；ARCH/GARCH model；Stock index returns
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(1) 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:1
  • 共同引用共同引用:33
  • 點閱點閱:11
期刊論文
1.Baillie, R. T.、DeGennaro, R. P.(1990)。Stock returns and voaltility。Journal of Financial and Quantitative Analysis，25，203-214。  new window
2.Bera, A. K.、Bubnys, E.、Park, H.(1988)。Conditional heteroskedasticity in the market model and efficient estimates of betas。Financial Review，23，201-214。  new window
3.Cai, J.(1994)。A Markov model of unconditional variance in ARCH。Journal of Business and Economic Statistics，12，309-316。  new window
4.Connolly, R. A.(1989)。An examination of the robustness of the weekend effect。Journal of Financial and Quantitative Analysis，24，133-169。  new window
5.Diebold, F. X.、Lim, S. C.、Lee, C. J.(1993)。A note on conditional heteroskedasticity in the market model。Journal of Accounting. Auditing and Finance，8，141-150。  new window
6.Diebold, F. X.、Rudebusch, G. D.(1989)。Long memory and persistence in aggregate output。Journal of Monetary Economics，24，189-209。  new window
7.Durland, J. M.、McCurdy, T. H.(1994)。Duration-dependent transitions in a Markov model of U.S. GNP growth。Journal of Business and Economic Statistics，12，279-288。  new window
8.Driffill, J.(1992)。Change in regime and the term structure。Journal of Economic Dynamics and Control，16，165-173。  new window
9.Engel, C.、Hamilton, J. D.(1990)。Long swing in dollar, Are they in the data and do market know it?。American Economic Review，80，689-713。  new window
10.Friedman, B. M.、Laibson, D. I.(1989)。Economic implications of extraordinary movements in stock prices。Brookings Papers on Economic Activity，2，137-189。  new window
11.Filardo, A. J.(1994)。Business-cycle phases and their transitional dynamics。Journal of Business and Economic Statistics，12，299-308。  new window
12.Goldfeld, S. M.、Quandt, R. E.(1974)。A Markov model for switching regressions。Journal of Econometrics，1，3-16。  new window
13.Ghysels, E.(1994)。On the periodic structure of the business cycle。Journal of Business and Economic Statistics，12，289-298。  new window
14.Hamilton, J. D.(1988)。Rational-expectations econometric analysis of change in regime: An investigation of the term structure of interest rates。Journal of Economic Dynamics and Control，12，385-423。  new window
15.Hamilton, J. D.(1990)。Analysis of the time series subject to change in regime。Journal of Econometrics，45，39-70。  new window
16.Hamilton, J. D.、Lin, G.(1996)。Stock market and the business cycle。Journal of Applied Econometrics，11，573-593。  new window
17.Hansen, B. E.(1992)。The likelihood ratio test under non-standard conditions: testing the Markov trend model of GNP。Journal of Applied Econometrics，7，61-82。  new window
18.Morgan, A.、Morgan, I.(1987)。Measurement of abnormal returns from small firms。Journal of Business and Economic Statistics，5，121-129。  new window
19.Pagan, A.、Ullah, A.(1988)。The econometric analysis of model with risk term。Journal Applied Econometrics，3，87-105。  new window
20.Schaller, H.、Norden, S. V.(1997)。Regime switching in stock market returns。Applied Financial Economics，7，177-191。  new window
21.Sowell, F.(1992)。Maximum likelihood estimation of stationary univariate fractionally integrated time series models。Journal of Econometrics，53，165-188。  new window
22.Geweke, J.、Porter-Hudak, S.(1983)。The Estimation and Application of Long Memory Time Series Model。The Journal of Time Series Analysis，4，221-238。  new window
23.Diebold, F. X.(1986)。Comments on Modeling the Persistence of Conditional Variance: A comment。Econometric Reviews，5，51-56。  new window
24.Granger, C. W. J.、Joyeux, Roselyne(1980)。An introduction to long-memory time series models and fractional differencing。Journal of Time Series Analysis，1(1)，15-29。  new window
25.Lo, A. W.(1991)。Long-term memory in stock market prices。Econometrica，59，1279-1313。  new window
26.Gray, S. F.(1996)。Modeling the Conditional Distribution of Interest Rates as a Regime Switching Process。Journal of Financial Economics，42(1)，27-62。  new window
27.Hamilton, J. D.、Susmel, R.(1994)。Autoregressive conditional heteroscedasticity and changes in regime。Journal of Econometrics，64，307-333。  new window
28.林向愷、黃裕烈、管中閔(19981200)。景氣循環轉折點認定與經濟成長率預測。經濟論文叢刊，26(4)，431-457。new window  延伸查詢new window
29.Kim, C. J.(1994)。Dynamic linear models with Markov-switching。Journal of Econometrics，60，1-22。  new window
30.Chou, R. Y.(1988)。Volatility Persistence and Stock Valuation: Some Empirical Evidence Using GARCH。Journal of Applied Econometrics，3，279-294。  new window
31.French, Kenneth R.、Schwert, G. William、Stambaugh, Robert F.(1987)。Expected stock returns and volatility。Journal of Financial Economics，19(1)，3-29。  new window
32.Engle, Robert F.、Bollerslev, Tim(1986)。Modelling the Persistence of Conditional Variances。Econometric Reviews，5(1)，1-50。  new window
33.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics，31(3)，307-327。  new window
34.Bollerslev, Tim(1987)。A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return。The Review of Economics and Statistics，69(3)，542-547。  new window
35.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
36.Schwert, G. William、Seguin, Paul J.(1990)。Heteroskedasticity in stock returns。Journal of Finance，45(4)，1129-1155。  new window
37.Hamilton, James D.(1989)。A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle。Econometrica: Journal of the Econometric Society，57(2)，357-384。  new window
38.Lamoureux, Christopher G.、Lastrapes, William D.(1990)。Persistence in Variance, Structural Change, and the GARCH Model。Journal of Business and Economic Statistics，8(2)，225-234。  new window
39.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica，50(4)，987-1007。  new window
會議論文
1.Chiang, Y. C.、Liao, S. L.、Hu, L. K.(1998)。Pricing Cross-Currency Two-Way Equity Swaps。the 7th Conference on the Theories and Practices of Security and Financial Markets。  new window
2.Li, M. Y.、Lin, H. W.(1999)。Examining TSE security return variability via a three-volatilityregime Markov-switching model。The Seventh Conference on Pacific Basin Finance, Economics and Accounting。  new window
學位論文
1.吳宜璋(1996)。台幣匯率趨勢預測表現之研究(碩士論文)。國立政治大學。  延伸查詢new window
2.林常青(1998)。台灣短期利率均數與變異數之馬可夫轉換(碩士論文)。國立臺灣大學。  延伸查詢new window
圖書
1.Hansen, B. E.(1991)。Inference when a nuisance parameter is not identified under the null hypothesis, Mimeo?。Rochester, NY：University of Rochester。  new window
2.Hamilton, J. D.(1994)。Time Series Analysis。Princeton, New Jersey：Princeton University Press。  new window
3.Luenberger, D. G.(1984)。Linear and Nonlinear Programming。Addison-Wesley。  new window
 
 
 
 
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