:::

詳目顯示

回上一頁
題名:The Asymmetric Behavior and Spillover Effects on Stock Index Returns: Evidence on Hong Kong and China
書刊名:Pan-Pacific Management Review
作者:chiang, min-hsien 引用關係
出版日期:2001
卷期:4:1
頁次:頁1-21
主題關鍵詞:Partial adjustment modelAsymmetryThreshold GARCHSpillover 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(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:19
期刊論文
1.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
2.Amihud, Y.、Mendelson, H.(1987)。Trading Mechanisms and Stock Returns: An Empirical Investigation。The Journal of Finance,42(3),533-553。  new window
3.Chui, A.、Kwok, C.(1998)。Cross-autocorrelation between A Shares and B Shares in the Chinese Stock Market。Journal of Financial Research,21(3),333-353。  new window
4.Koutmos, Gregory(1998)。Asymmetries in the Conditional Mean and the Conditional Variance: Evidence from Nine Stock Markets。Journal of Economics and Business,50(3),277-290。  new window
5.Longin, F. M.(1997)。The threshold effect in expected volatility: A model based on asymmetric information。Review of Financial Studies,10(3),837-869。  new window
6.Sortino, F. A.、van der Meer, R.(1991)。Downside Risk。Journal of Portfolio Management,17(4),27-31。  new window
7.Zakoian, Jean-Michel(1994)。Threshold Heteroskedastic Models。Journal of Economic Dynamics and Control,18(5),931-955。  new window
8.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
9.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
10.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
11.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, Fisher(1976)。Studies of Stock Price Volatility Changes。The 1976 Meeting of Business and Economic Statistics Section。American Statistical Association。177-181。  new window
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
QR Code
QRCODE