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題名:不同波動期間之期望報酬與風險關係的實證研究--不對稱GARCH-M模型之應用
書刊名:輔仁管理評論
作者:葉銀華 引用關係蔡麗茹 引用關係
作者(外文):Yeh, Yin-huaTsai, Li-ju
出版日期:2000
卷期:7:2
頁次:頁161-179
主題關鍵詞:報酬與風險GARCH模型融資槓桿效果波動回饋效果Expected return and riskGARCH modelFinancial leverage effectVolatility feedback effect
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(5) 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:5
  • 共同引用共同引用:61
  • 點閱點閱:23
期刊論文
1.胡星陽、梁敏芳(19950100)。漲跌幅限制與臺灣股票市場波動。證券市場發展,7(1)=25,1-25。new window  延伸查詢new window
2.Berndt, E. K.、Hall, B. H.、Hall, R. E.、Hausman, J. A.(1974)。Estimation Inference in Nonlinear Structural Models。Annals of Economic and Social Measurement,4,653-665。  new window
3.Merton, R. C.(1980)。On Estimating the Excepted Return on the Market: An Exploratory Investigation。Journal of Financial Economics,8,323-361。  new window
4.Shen, C. H.、Wang, L. R.(1998)。Daily Serial Correlation, Trading Volume and Price Limits: Evidence from the Taiwan Stock Market。Pacific Basin Finance Journal,6,251-273。  new window
5.Campbell, J. Y.(1987)。Stock returns and the term structure。Journal of Financial Economics,18,373-399。  new window
6.Kuwahara, H.、Marsh, T.(1992)。The pricing of Japanese equity warrants。Management Science。  new window
7.Schwert, G. W.(1970)。Stock Volatility and the Crash of 87。Review of Financial Studies,3(1),77-102。  new window
8.黃德芬(19951000)。臺灣股票市場波動性之研究。證券市場發展,7(4)=28,157-184。new window  延伸查詢new window
9.Brailsford, T. J.(1995)。Market Closures and Time-varying Volatility in the Australian Equity Market。Journal of Empirical Finance,2,165-172。  new window
10.Breen, W.、Glosten, L. R.、Jagannathan, R.(1989)。Economic Significance of Predictable Variations in Stock Index Returns。Journal of Finance,44,1177-1189。  new window
11.Chou, R.(1988)。Volatility Persistence and Stock Valuations: Some Empirical Evidence Using GARGH。Journal of Applied Econometrics,3,279-294。  new window
12.Duffee. G. R.(1995)。Stock Returns and Volatility: A Firm-level Analysis。Journal of Financial Economics,37,390-420。  new window
13.Harvey, C. R.(1989)。Time-varying Conditional Covariance in Tests of Asset Pricing Models。Journal of Financial Economics,24,289-317。  new window
14.Ng, V.、Rothschild, M.、Engle, R.(1992)。A Multi-dynamic-factor Model for Stock Return。Journal of Econometrics,52,245-266。  new window
15.Cheung, Y. W.、Ng, L. K.(1992)。Stock price dynamics and firm size: an empirical investigation。Journal of Finance,47,1985-1997。  new window
16.Hentschel, L.(1995)。All in the Family Nesting Symmetric and Asymmetric GARCH Models。Journal of Financial Economics,39,71-104。  new window
17.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
18.Clinebell, John M.、Squires, Jan R.、Stevens, Jerry L.(1993)。Investment Performance over Bull and Bear Markets: Fabozzi and Francis Revisited。Quarterly Journal of Business & Economics,32(4),14-25。  new window
19.De Long, J. Bradford、Shleifer, Andrei、Summers, Lawrence H.、Waldmann, Robert J.(1990)。Positive Feedback Investment Strategies and Destabilizing Rational Speculation。Journal of Finance,45(2),379-395。  new window
20.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
21.Schwert, G. William(1989)。Why Does Stock Market Volatility Change Over Time?。Journal of Finance,44(5),1115-1153。  new window
22.Christie, A. A.(1982)。The Stochastic Behavior of Common Stock Variance: Value, Leverage and Interest Rate Effects。Journal of Financial Economics,10(4),407-432。  new window
23.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
24.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
25.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
26.沈中華、黃河泉(19940700)。股價波動性與結構性轉變之探討--不同漲跌幅限制下的分析。臺大管理論叢,5(2),23-45。new window  延伸查詢new window
27.Schwert, G. William、Seguin, Paul J.(1990)。Heteroskedasticity in stock returns。Journal of Finance,45(4),1129-1155。  new window
28.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
29.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
30.Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society,59(2),347-370。  new window
31.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.(1976)。Studies in Stock Price Volatility Changes。The 1976 Business Meeting of the Business and Economic Statistics Section。American Statistical Association。177-181。  new window
2.洪志洋、蔡啓明(1995)。變異數比率檢定在台灣股票市場的應用。第四屆證券暨金融市場理論與實務研討會,國立中山大學 。  延伸查詢new window
3.Duan, Jin-Chuan、Yu, Min-The(1996)。A GARCH Pricing Approach to Multiperiod Deposit Insurance Coverage。Fifth Conference on the Theories and Practices of Security and Financial Markets。Kaohsiung, Taiwan:National Sun Yat-sen University。  new window
研究報告
1.Chiang, R.、Wei, K. C.(1993)。Estimation of Volatility Under Price Limits。University of Miami。  new window
學位論文
1.楊哲萍(1991)。台灣股票價格變動是否過大--變異數限制測試(碩士論文)。國立臺灣大學。  延伸查詢new window
其他
1.Chian, R.,Wei, K. C.(1995)。Using Daily Security Prices to Estimate Volatility and Regression Models under Price Limits。  new window
圖書論文
1.Pagan, A. R.、Hong, Y. S.(1991)。Nonparametric Estimation and Risk Premium。Nonparametric and Semi-parametric Methods in Econometrics and Statistics。Cambridge:Cambridge University Press。  new window
 
 
 
 
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