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題名：臺灣股票店頭市場股價報酬與波動之分析
書刊名：亞太管理評論
作者：林楚雄 引用關係／劉維琪 引用關係／吳欽杉
作者(外文)：Lin, Chu-hsiung／Liu, Victor Wei-chi／Wu, Chin-shun
出版日期：2000
卷期：5:4
頁次：頁435-449
主題關鍵詞：波動轉換條件異質變異數模型；非線性；店頭市場；BDS；Volatility-switching GRACH model；Nonlinearity；OTC
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(1) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:3
  • 共同引用共同引用:54
  • 點閱點閱:21
期刊論文
1.Tong, H.、Lim, K.(1980)。Threshold Autoregression, Limit Cycles, and Cyclical Data。Journal of the Royal Statistical Society，42，245-292。  new window
2.Tsay, R. S.(1986)。Nonlinearity Tests for Time Series。Biometrika，73，461-466。  new window
3.Harvey, A. C.、Ruiz, E.、Shephard, N.(1994)。Multivariate stochastic variance models。Review of Economic Studies，61(2)，247-264。  new window
4.Grassberger, P.、Procaccia, I.(1983)。Measuring the strangeness of strange attractors。Physica D: Nonlinear Phenomena，9(1/2)，189-208。  new window
5.Engle, R. F.、Ng, V.、Rothschild, M.(1990)。Asset pricing with a factor ARCH covariance structure: empirical estimates for Treasury Bills。Journal of Econometrics，45(1/2)，213-238。  new window
6.Engel, R. F.、Lillien, D. M.、Robins, R. P.(1987)。Estimating time varying risk premia in the term structure: the ARCH-M model。Econometrica，55，391-407。  new window
7.Sakai, H.、Tokumaru, H.(1980)。Autocorrelations of a certain chaos。IEEE Transactions on Acoustics, Speech, and Signal Processing，28(5)，588-590。  new window
8.Hsieh, David A.(1991)。Chaos and Nonlinear Dynamics: Application to Financial Markets。The Journal of Finance，46(5)，1839-1877。  new window
9.Higgins, Matthew L.、Bera, Anil K.(1992)。A Class of Nonlinear ARCH Models。International Economic Review，33(1)，137-158。  new window
10.Yang, S. R.、Brorsen, B. W.(1993)。Nonlinear dynamics of daily futures prices: conditional heteroskedasticity or chaos?。Journal of Futures Markets，13(2)，175-191。  new window
11.Campell, J.(1987)。Stock Returns and the Term Structure。Journal of Financial Economics，18，373-399。  new window
12.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
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.郭祥兆、韓宜芬(19940300)。臺灣加權股價指數非線性與混沌現象之研究。管理科學學報，11(1)，49-69。  延伸查詢new window
15.Beller, K.、Nofsinger, J. R.(1998)。On Stock Return Seasonality and Conditional Heteroskedasticity。Journal of Financial Research，51(2)，229-246。  new window
16.Subba Rao, T.、Gabar, M. M.(1980)。A Test for Linearity of Stationary Time Series。Journal of Time Series Analysis，1，145-158。  new window
17.Nelson, D. B.(1990)。ARCH Models as Diffusion Approximations。Journal of Econometrics，45(1/2)，7-38。  new window
18.Hsieh, D.(1989)。Testing for Non-linear Dependence in Daily Foreign Exchange Rates。Journal of Business，62(3)，339-368。  new window
19.Brock, W.(1986)。Distinguishing Random and Deterministic Systems。Journal of Economic Theory，40(1)，168-195。  new window
20.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
21.Akaike, H.(1969)。Fitting Autoregressive Models for Prediction。Annals of the Institute of Statistical Mathematics，21，243-247。  new window
22.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
23.Engle, R. F.、Mustafa, C.(1992)。Implied ARCH Models from Option Prices。Journal of Econometrics，52，289-311。  new window
24.Baillie, R. T.、DeGennaro, R. P.(1990)。Stock Returns and Volatility。Journal of Financial and Quantitative Analysis，25(2)，307-327。  new window
25.Breusch, T. S.、Pagan, A. R.(1978)。A Simple Test for Heteroskedastic City and Random Coefficient Variation。Econometrica，46，1287-1294。  new window
26.Gourieroux, C.、Monfort, A.(1992)。Qualitative Threshold ARCH Models。Journal of Econometrics，52，159-199。  new window
27.Hentschel, L.(1995)。All in the Family Nesting Symmetric and Asymmetric GARCH Models。Journal of Financial Economics，39，71-104。  new window
28.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
29.Brorsen, B. W.、Yang, Seung-Ryong(1994)。Nonlinear Dynamics and the Distribution of Daily Stock Index Returns。Journal of Financial Research，57(2)，187-203。  new window
30.Hsieh, D. A.(1993)。Implications of Nonlinear Dynamic for Finance Risk Management。Journal of Financial Quantitative Analysis，28(1)，41-64。  new window
31.Scheinkman, J. A.、LeBaron, B.(1989)。Nonlinear Dynamics and Stock Returns。Journal of Business，62(3)，311-337。  new window
32.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
33.Schwarz, Gideon(1978)。Estimating the Dimension of a model。The Annals of Statistics，6(2)，461-464。  new window
34.Fornari, F.、Mele, A.(1997)。Sign- and volatility-switching ARCH models: Theory and applications to international stock markets。Journal of Applied Econometrics，12(1)，49-65。  new window
35.Rabemananjara, R.、Zakoïan, J. M.(1993)。Threshold ARCH Models and Asymmetries in Volatility。Journal of Applied Econometrics，8，31-49。  new window
36.Schwert, G. William(1989)。Why Does Stock Market Volatility Change Over Time?。Journal of Finance，44(5)，1115-1153。  new window
37.Pagan, Adrian R.、Schwert, G. William(1990)。Alternative Models for Conditional Stock Volatility。Journal of Econometrics，45(1/2)，264-290。  new window
38.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
39.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
40.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
41.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
42.Merton, Robert C.(1973)。An Intertemporal Capital Asset Pricing Model。Econometrica，41(5)，867-887。  new window
43.Engle, Robert F.、Bollerslev, Tim(1986)。Modelling the Persistence of Conditional Variances。Econometric Reviews，5(1)，1-50。  new window
44.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics，31(3)，307-327。  new window
45.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
46.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
47.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica，50(4)，987-1008。  new window
48.Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society，59(2)，347-370。  new window
49.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
50.Mandelbrot, Benoit B.(1963)。The Variation of Certain Speculative Prices。The Journal of Business，36(4)，394-419。  new window
會議論文
1.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
2.許鎮明、謝嘉晉(1995)。台灣股價之非線性檢定分析及預測。第四屆證券暨金融市場理論與實務研討會。中山大學。  延伸查詢new window
3.Akaike, H.(1973)。Information Theory and an Extension of the Maximum Likelihood Principle。The 2nd International Symposium on Information Theory。Akademiai Kiado。267-281。  new window
4.Black, F.(1976)。Studies of Stock, Price Volatility Changes。American Statistical Association: Business and Economic Statistics Section，177-181。  new window
研究報告
1.Brock, W.(1987)。Notes on Nuisance Parameter Problems in BDS Type Tests for IID。University of Wisconsin, Madison。  new window
學位論文
1.李詩政(1998)。運用渾沌理論於台灣金融市場行為之研究(碩士論文)。國立中山大學。  延伸查詢new window
圖書
1.Brock, W.、Dechert, W.、Scheinkman, J.(1987)。A Test for Independence Based On the Correlation Dimension。University of Wisconsin, Madison：University of Houston：University of Chicago。  new window
2.Brock, W.、Hsieh, D. A.、Lebaron, Blake(1993)。Nonlinear Dynamic, Chaos, and Instability: Statistical Theory and Economic Evidence。Cambridge, Massachusetts：London, England：The MIT Press。  new window
3.Granger, C.、Anderson, A. P.(1978)。An Introduction to Bilinear Time Series Models。  new window
4.Hsieh, D. A.、LeBaron, B.(1988)。Finite Sample Properties of the BDS Statistic。University Of Chicago：University of Wisconsin, Madison。  new window
其他
1.萬哲鈺(1996)。時間數列之非線性動態分析--台灣股價報酬的研究。  延伸查詢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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