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題名:International Transmission of Stock Market Movements within the Great China Economic Area
書刊名:Pan-Pacific Management Review
作者:Chang, Alex Kung-hsiungChou, Su-liWu, Chin-shun
出版日期:2000
卷期:3:2
頁次:頁283-298
主題關鍵詞:Vector autoregression modelVARThe great China economic areaGCEATransmission mechanism
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:3
  • 共同引用共同引用:0
  • 點閱點閱:26
期刊論文
1.Bae, K. H.、Karolyi, G. A.(1994)。Good News, Bad News and International Spillovers of Stock Return Volatility between Japan and the U.S.。Pacific-Basin Finance Journal,2(4),405-438。  new window
2.Sims, Christopher A.(1986)。Are Forecasting Models Usable for Policy Analysis?。Federal Reserve Bank of Minneapolis Quarterly Review,10(1),2-16。  new window
3.Arshanapalli, B.、Doukas, J.(1993)。International stock market linkages: Evidence from the pre-and post-October 1987 period。Journal of Banking and Finance,17(1),193-208。  new window
4.Kasa, K.(1992)。Common Stochastic Trends in International Stock Markets。Journal of Monetary Economics,29(1),95-124。  new window
5.Theodossiou, P.、Lee, U.(1993)。Mean and volatility spillovers across major national stock markets: Further empirical evidence。The Journal of Financial Research,16(4),337-350。  new window
6.Hamao, Y. R.、Masulis, R. W.、Ng, V. K.(1990)。Correlations in Price Changes and Volatility across International Stock Markets。The Review of Financial Studies,3(2),281-307。  new window
7.Meese, Richard A.、Rogoff, Kenneth S.(1983)。Empirical Exchange Rate Models of the Seventies: Do They Fit Out of Sample?。Journal of International Economics,14(1/2),3-24。  new window
8.Liu, Y. Angela、Pan, Ming-Shiun、Fung, Hung-Gay(1996)。International Transmission of Stock Price Volatility: Evidence from the U.S. and Six Pacific Basin Markets。Journal of Multinational Financial Management,6(2),81-94。  new window
9.Susmel, R.、Engel, R. F.(1994)。Hourly volatility spillovers between international equity markets。Journal of International Money and Finance,13(1),3-25。  new window
10.Clements, M. P.、Mizon, G. E.(1991)。Empirical Analysis of Macroeconomic Time Series: VAR and Structural Models (with discussion)。European Economic Review,35(4),887-932。  new window
11.Funke, M.(1990)。Assessing the Forecasting Accuracy of Monthly Vector Autoregressive Models: The Case of Five OECD Countries。International Journal of Forecasting,6(3),363-378。  new window
12.Jeng, Y.、Kim, C. W.、Wan-Sulaiman, W. M. H.(1992)。International transmission of stock market movements and Korea and Taiwan fund prices。Pacific-Basin Capital Markets Research,3,205-223。  new window
13.Jeon, B. N.、von Furstenberg, G. M.(1990)。Growing international comovement in stock price indexes。Quarterly Review of Economics & Business,30(3),15-30。  new window
14.Koutmos, G.(1992)。Asymmetric volatility and risk return tradeoff in foreign stock markets。Journal of Multinational Financial Management,2(2),27-43。  new window
15.Keating, J. W.(1990)。Identifying VAR Models Under Rational Expectations。Journal of Monetary Economics,25(3),453-476。  new window
16.McNees, S. K.(1986)。Forecasting Accuracy of Alternative Techniques: a Comparison of US Macroeconomic Forecasts。Journal of Business and Economic Statistics,4,5-15。  new window
17.Litterman, R. B.(1986)。A Statistical Approach to Economic Forecasting。Journal of Business and Economic Statistics,4,1-4。  new window
18.LeSage, James P.(1990)。A comparison of the forecasting ability of ECM and VAR model。The Review of Economics and Statistics,72(4),664-671。  new window
19.William, M. L.、Webb, R. H.(1986)。Defining and Improving the accuracy of macroeconomic forcasts: contributions from a VAR model。Journal of Business,59,263-285。  new window
20.Spencer, D. E.(1993)。Developing a Bayesian Vector Autoregression Forecasting Model。International Journal of Forecasting,9(3),407-421。  new window
21.Sims, C. A.(1972)。Money, income and causality。American Economic Review,62,540-552。  new window
22.Cheung, Y. W.、Ng, L. K.(1992)。Stock price dynamics and firm size: an empirical investigation。Journal of Finance,47,1985-1997。  new window
23.Koutmos, Gregory、Booth, G. Geoffrey(1995)。Asymmetric Volatility Transmission in International Stock Markets。Journal of International Money and Finance,14(6),747-762。  new window
24.Koutmos, G.(1996)。Modeling the Dynamic Interdependence of Major European Stock Markets。Journal of Business Finance & Accounting,23(7),975-988。  new window
25.Eun, Cheol S.、Shim, Sangdal(1989)。International Transmission of Stock Market Movements。Journal of Financial and Quantitative Analysis,24(2),241-256。  new window
26.Granger, Clive W. J.(1969)。Investigating causal relations by econometric models and cross-spectral methods。Econometrica: Journal of the Econometric Society,37(3),424-438。  new window
27.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
28.Hilliard, J. E.(1979)。The relationship between equity indices on world exchanges。Journal of Finance,34(1),103-114。  new window
29.Sims, Christopher A.(1980)。Macroeconomics and Reality。Econometrica: Journal of the Econometric Society,48(1),1-48。  new window
30.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
會議論文
1.Chen, W . L.(1995)。The research and evaluation on the methodology of calculating the TADEX。Fourth Annual Conference on the Theories and Practices of Security and Financial Markets。  new window
學位論文
1.Chang, K. H.(1997)。A Grey Vector Autoregression Model on the Information Transmission Mechanism of the Taiwan Financial Market(博士論文)。National Sun Yat-Sen University。  new window
 
 
 
 
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