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題名：亞洲金融危機對我國股市條件波動結構之影響
書刊名：亞太管理評論
作者：林楚雄 引用關係
作者(外文)：Lin, Chu-hsiung
出版日期：2000
卷期：5:3
頁次：頁315-330
主題關鍵詞：金融危機；股票市場；條件波動；Financial crisis；Stock market；Conditional volatility
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(3) 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:2
  • 共同引用共同引用:57
  • 點閱點閱:16
期刊論文
1.Engle, R.、Mustafa, C.(1992)。Implied ARCH Models from Option Prices。Journal of Econometrics，52(1/2)，289-311。  new window
2.Fama, Eugene F.、Schwert, G. William(1977)。Asset Returns and Inflation。Journal of Financial Economics，5(2)，115-146。  new window
3.林建甫、張焯然(19970600)。GARCH模型條件變異數結構變動的檢定。經濟論文，25(2)，201-225。new window  延伸查詢new window
4.Chan, K. C.、Karolyi, G. A.、Stulz, Rene M.(1992)。Global Financial Markets and the Risk Premium on U.S. Equity。Journal of Financial Economics，32，137-167。  new window
5.Campell, J.(1987)。Stock Returns and the Term Structure。Journal of Financial Economics，18，373-399。  new window
6.Chu, C. J.(1993)。Detecting Parameter Shift in Generalized Autoregressive Conditional Heteroskedasticitv Models。Econometric Review，14(2)，241-299。  new window
7.Engle, R. F.、Lilien, D.、Robins, R.(1987)。Estimating Time Varying Risk Premia in the Term Structure: The ARCH-M Model。Econometrica，55，391-407。  new window
8.Fornari, F.、Mele, A.(1997)。Signand Volatility-Switching ARCH Models: Theory and Applications to International Stock Markets。Journal of Applied Econometrics，12，49-65。  new window
9.Liu、Ker(1996)。Linear and Nonlinear Change of the Stock Return in Taiwan Stock Market。Taipei Economic Inquiry，34(1)，73-109。  new window
10.Turner, C. M.、Startz, R.、Nelson, Charls R.(1989)。A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market。Journal of Financial Economics，25，3-22。  new window
11.Antoniou, Antonios、Holmes, Phil、Priestley, Richard(1998)。The Effects of Stock Index Futures Trading on Stock Index Volatility: An Analysis of the Asymmetric Response of Volatility to News。Journal of Futures Markets，18(2)，151-166。  new window
12.Lee, Sang Bin、Ohk, Ki Yool(1992)。Stock Index Futures Listing and Structural Change in Time-Varying Volatility。Journal of Futures Markets，12(5)，493-509。  new window
13.黃柏農(19950100)。多國性股價報酬率的統計特性及星期效果研究--自相關條件異質性模型之應用。中國財務學刊，2(2)，43-76。new window  延伸查詢new window
14.Dickey, D. A.、Fuller, W. A.(1979)。Distribution of the Estimates for Autoregressive Time Series with Unit Root。Journal of the American Statistical Association，74(366)，427-431。  new window
15.Schwert, G. W.(1990)。Stock Volatility and the Crash of '87。The Review of Financial Studies，3，77-102。  new window
16.Akaike, H.(1969)。Fitting Autoregressive Models for Prediction。Annals of the Institute of Statistical Mathematics，21，243-247。  new window
17.Berndt, Ernst R.、Hall, Bronwyn H.、Hall, Robert E.、Hausman, Jerry A.(1974)。Estimation and Inference in Nonlinear Structural Models。Annals of Economic and Social Measurement，3(4)，653-665。  new window
18.Baillie, R. T.、DeGennaro, R. P.(1990)。Stock Returns and Volatility。Journal of Financial and Quantitative Analysis，25(2)，307-327。  new window
19.Breusch, T. S.、Pagan, A. R.(1978)。A Simple Test for Heteroskedastic City and Random Coefficient Variation。Econometrica，46，1287-1294。  new window
20.Hentschel, L.(1995)。All in the Family Nesting Symmetric and Asymmetric GARCH Models。Journal of Financial Economics，39，71-104。  new window
21.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
22.劉曦敏、葛豐瑞(19960100)。臺灣股價指數報酬率之線性及非線性變動。經濟研究. 臺北大學經濟學系，34(1)，73-109。new window  延伸查詢new window
23.Braun, P. A.、Nelson, D. B.、Sunier, A. M.(1995)。Good News, Bad News, Volatility, and Betas。Journal of Finance，50(5)，1575-1603。  new window
24.Rabemananjara, R.、Zakoïan, J. M.(1993)。Threshold ARCH Models and Asymmetries in Volatility。Journal of Applied Econometrics，8，31-49。  new window
25.Schwert, G. William(1989)。Why Does Stock Market Volatility Change Over Time?。Journal of Finance，44(5)，1115-1153。  new window
26.Pagan, Adrian R.、Schwert, G. William(1990)。Alternative Models for Conditional Stock Volatility。Journal of Econometrics，45(1/2)，264-290。  new window
27.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
28.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
29.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
30.Dickey, David A.、Fuller, Wayne A.(1981)。Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root。Econometrica: journal of the Econometric Society，49(4)，1057-1072。  new window
31.Engle, Robert F.、Bollerslev, Tim(1986)。Modelling the Persistence of Conditional Variances。Econometric Reviews，5(1)，1-50。  new window
32.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics，31(3)，307-327。  new window
33.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
34.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
35.Bollerslev, Tim(1988)。On The Correlation Structure for the Generalized Autoregressive Conditional Heteroskedastic Process。Journal of Time Series Analysi，9(2)，121-131。  new window
36.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
37.Ding, Zhuanxin、Granger, Clive W. J.、Engle, Robert F.(1993)。A long memory property of stock market returns and a new model。Journal of Empirical Finance，1(1)，83-106。  new window
38.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
39.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica，50(4)，987-1008。  new window
40.Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society，59(2)，347-370。  new window
41.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
42.Mandelbrot, Benoit B.(1963)。The Variation of Certain Speculative Prices。The Journal of Business，36(4)，394-419。  new window
43.Breen, William、Jagannathan, Ravi、Glosten, Lawrence R.(1989)。Economic Significance of Predictable Variations in Stock Index Returns。The Journal of Finance，44，1177-1189。  new window
會議論文
1.Akaike, H.(1973)。Information theory and an extension of the maximum likelihood principle。The 2nd International Symposium on Information Theory。Budapest：Akadémiai Kiadó。267-281。  new window
2.林景春(1997)。金融風暴前後國際股市連動關係之研究。第三屆亞太金融中心研討會，391-420。  延伸查詢new window
3.林楚雄、劉維琪、吳欽杉(1999)。GJR與Volatility-Switching GARCH模型之比較：我國股票市場之實證研究。中國財務學年會暨學術研討會。中壢。  延伸查詢new window
4.許鎮明、謝嘉晉(1995)。台灣股價之非線性檢定分析及預測。第四屆證券暨企融市場理論與實務研討會。高雄。  延伸查詢new window
5.Chang, T.、Fang, W.(1995)。Stock Returns and Volatility in the Taiwan Stock Exchange。The Chinese Finance Association Annual Conference。  new window
6.Hsu, Y.(1993)。Estimating the Relation between Risk Premium and Volatility in Taiwan Stock Market: An ARCH Approach。The Chinese Finance Association Annual Conference，421-444。  new window
7.Black, F.(1976)。Studies of Stock Price Volatility Changes。The 1976 Meetings of the American Statistical Association, Business and Economics Statistics Section。American Statistical Association。177-181。  new window
圖書論文
1.Bollerslev, T.、Engle, R. F.、Nelson, D.(1994)。ARCH Models。Handbook of Econometrics。  new window
 
 
 
 
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