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題名:A Study of Newly Published Contract of Futures on the Volatility of the Spot Market
書刊名:企業管理學報
作者:吳瑞山
作者(外文):Wu, Ruey-shan
出版日期:2001
卷期:51
頁次:頁1-25
主題關鍵詞:白噪音自我相關恆定性異質變異數擴展之EGARCH模型White noiseAutocorrelationStationarityHeteroscedasticityExpanded EGARCH
原始連結:連回原系統網址new window
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  • 共同引用共同引用:0
  • 點閱點閱:10
期刊論文
1.Pericli, A.、Koutmos, G.(1997)。Index futures and options and stock market volatility。The Journal of Futures Markets,17(8),957-974。  new window
2.Tauchen, George E.、Pitts, Mark(1983)。The Price Variability-Volume Relationship on Speculative Markets。Econometrica: Journal of the Econometric Society,51(2),485-505。  new window
3.Turnovsky, S. J.(1983)。The determination of spot and futures prices with storable commodities。Econometrica,51(5),1363-1387。  new window
4.Durbin, J.(1969)。Tests for serial correlation in regression analysis based on the periodogram of least squares residuals。Biometrika,56,1-15。  new window
5.Ely, D. P.(1991)。Derivative Securities and cash market。Applied Economies,23,391-402。  new window
6.Fortune, P.(1989)。An assessment of financial market volatility: bills, bonds, and stocks。New England Economic Review,1989(Nov./Dec.),13-28。  new window
7.Kwiatkowski, Denis、Phillips, Peter C. B.、Schmidt, Peter、Shin, Yongcheol(1992)。Testing the Null Hypothesis of Stationary Against the Alternative of a Unit Root: How sure are we that economic time series have a unit root?。Journal of Econometrics,54,159-178。  new window
8.Maberly, E.、Allen, D.、Gelbert, R.(1989)。Stock index futures and cash market volatility。Financial Analysts Journal,45(6),75-77。  new window
9.Sims, Christopher A.(1988)。Bayesian skepticism on unit root econometrics。Journal of Economic Dynamics and Control,12(2/3),463-474。  new window
10.Subrahmanyam, A.(1996)。On speculation, index futures markets, and the link between market volatility and investor welfare。The Financial Review,31(2),227-263。  new window
11.Schwert, G. William(1990)。Stock Market Volatility。Financial Analysts Journal,46,23-34。  new window
12.Edwards, F. R.(1988)。Does futures trading increase stock market volatility?。Financial Analysts Journal,44(1),63-69。  new window
13.Becketti, S.、Roberts, D. J.(1990)。Will increased regulation of stock index futures reduce stock market volatility。Federal Reserve Bank of Kansas City Economic Review,75(6),33-46。  new window
14.Harris, L.(1989)。S&P 500 cash stock price volatilities。The Journal of Finance,44(5),1155-1175。  new window
15.Kamara, A.、Miller, T. W. Jr.、Siegel, A. F.(1992)。The effect of futures trading on the stability of Standard and Poor 500 returns。Journal of Futures Markets,12(6),645-658。  new window
16.Nelson, D. B.(1990)。ARCH Models as Diffusion Approximations。Journal of Econometrics,45(1/2),7-38。  new window
17.Danthine, J. P.(1978)。Information, futures prices, and stabilizing speculation。Journal of Economics Theory,17(1),79-98。  new window
18.Nelson, C. R.、Plosser, C. I.(1982)。Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications。Journal of Monetary Economics,10(2),139-162。  new window
19.Fama, E. F.(1965)。The behavior of stock market prices。Journal of Business,38(1),34-105。  new window
20.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
21.Akgiray, Vedat(1989)。Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts。The Journal of Business,62(1),55-80。  new window
22.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
23.Dickey, David A.、Fuller, Wayne A.(1979)。Distribution of the Estimators for Autoregressive Time Series With a Unit Root。Journal of the American Statistical Association,74(366),427-431。  new window
24.Phillips, Peter C. B.、Perron, Pierre(1988)。Testing for a unit root in time series regression。Biometrika,75(2),335-346。  new window
25.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
26.Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society,59(2),347-370。  new window
27.Mandelbrot, Benoit B.(1963)。The Variation of Certain Speculative Prices。The Journal of Business,36(4),394-419。  new window
圖書
1.Priestley, M. B.(1981)。Spectral Analysis and Time Series。London。  new window
2.(1985)。An introduction to the Taiwan Stock Exchange。Taipei:Taiwan Stock Exchange。  new window
3.Fuller, Wayne A.(1996)。Introduction to statistical time series。John Wiley & Sons, Inc.。  new window
圖書論文
1.Merton, R.(1982)。On the mathematics and economic assumptions of continuous-time models。Financial Economics: Essays in Honor of Paul Cootner。Engelwood Cliffs, NJ:Prentice-Hall。  new window
 
 
 
 
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