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題名:Modeling Asian Stock Returns with a More General Parametric GARCH Specification
書刊名:財務金融學刊
作者:王凱立
作者(外文):Wang, Kai-li
出版日期:2001
卷期:9:3
頁次:頁21-52
主題關鍵詞:一般自我迴歸條件異質性偏態峰態厚尾預測不對稱波動持續性GARCHSkewnessHigh peakednessKurtosisForecastingAsymmetricPersistent
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:1
  • 共同引用共同引用:0
  • 點閱點閱:21
期刊論文
1.MacDonald, Ronald、Taylor, Mark P.(1992)。Exchange Rate Economics: A Survey。International Monetary Fund Staff Papers,39(1),1-57。  new window
2.White, H.(1982)。Maximum likelihood estimation of misspecified models。Econometrica,50(1),1-25。  new window
3.West, K. D.、Cho, D.(1995)。The Predictive Ability of Several Models of Exchange Rate Volatility。Journal of Econometrics,69(2),367-391。  new window
4.Boothe, P.、Glassman, P. D.(1987)。The Statistical Distribution of Exchange Rates: Empirical Evidence and Economic Implication。Journal of International Economics,22(3),297-320。  new window
5.Hentschel, L.(1995)。All in the Family Nesting Symmetric and Asymmetric GARCH Models。Journal of Financial Economics,39(1),71-104。  new window
6.Hsieh, David A.(1988)。The Statistical Properties of Daily Foreign Exchange Rates: 1974-1983。Journal of International Economics,24,129-145。  new window
7.Zakoian, Jean-Michel(1994)。Threshold Heteroskedastic Models。Journal of Economic Dynamics and Control,18(5),931-955。  new window
8.Andrews, D. W. K.(1991)。Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation。Econometrica,59(3),817-858。  new window
9.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
10.Lamoureux, C. G.、Lastrapes, W. D.(1990)。Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects。The Journal of Finance,45(1),221-229。  new window
11.Schwert, G. William(1989)。Why Does Stock Market Volatility Change Over Time?。Journal of Finance,44(5),1115-1153。  new window
12.Pagan, Adrian R.、Schwert, G. William(1990)。Alternative Models for Conditional Stock Volatility。Journal of Econometrics,45(1/2),264-290。  new window
13.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
14.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
15.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
16.Kim, Dongcheol、Kon, Stanley J.(1994)。Alternative Models for the Conditional Heteroscedasticity of Stock Returns。The Journal of Business,67(4),563-598。  new window
17.Engle, Robert F.、Bollerslev, Tim(1986)。Modelling the Persistence of Conditional Variances。Econometric Reviews,5(1),1-50。  new window
18.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
19.Diebold, Francis X.、Mariano, Roberto S.(1995)。Comparing Predictive Accuracy。Journal of Business and Economic Statistics,13(3),253-263。  new window
20.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
21.Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society,59(2),347-370。  new window
22.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
23.Newey, Whitney K.、West, Kenneth D.(1987)。A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix。Econometrica,55(3),703-708。  new window
24.Bodurtha, James N., Jr.、Mark, C. Nelson(1991)。Testing the CAPM with Time-varying Risks and Returns。The Journal of Finance,46(4),1485-1505。  new window
25.McDonald, J. B.、Xu, Y. J.(1995)。A Generalization of the Beta Distribution with Applications。Journal of Econometrics,66,133-152。  new window
26.Engle, R. F.、Gonzalez-Rivera, G.(1991)。Semiparametric ARCH Models。Journal of Business & Economic Statistics,9(4),345-359。  new window
27.Ferson, W.、Gibbons, M. R.(1985)。Testing asset pricing models with changing expectations and an unobservable market portfolio。Journal of Financial Economics,14(2),217-236。  new window
28.Harvey, Campbell R.(1989)。Time-varying Conditional Covariances in Tests of Asset Pricing Models。Journal of Financial Economics,24(2),289-317。  new window
29.McDonald, J. B.(1984)。Some Generalized Functions for the Size Distribution of Income。Econometrica,52,648-663。  new window
30.McDonald, J. B.(1991)。Parametric Models for Partially Adaptive Estimation with Skewed and Leptokurtic Residuals。Economics Letters,37(3),273-278。  new window
31.Meese, Richard、Rogoff, Kenneth(1983)。Was It Real? The Exchange Rate-Interest Differential Relation over the Modern Floating-rate Period。The Journal of Finance,43,933-948。  new window
32.Stekler, H. O.(1987)。Who forecasts better?。Journal of Business & Economic Statistics,5,155-158。  new window
33.Singleton, J. C.、Wingender, J.(1986)。Skewness Persistence in Common Stock Returns。Journal of Financial and Quantitative Analysis,21(3),335-341。  new window
34.Swanson, N. R.(1998)。Money and output viewed through a rolling window。Journal of Monetary Economics,41(3),455-474。  new window
35.王凱立、Fawson, C.、Barrett, C. B.、McDonald, J. B.、Wang, K. L.、McDonald, J.(2001)。A Flexible Parametric GARCH Model with an Application to Exchange Rates。Journal of Applied Econometrics,16(4),521-536。  new window
學位論文
1.Peruga, R.(1988)。The Distributional Properties of Exchange Rate Changes Under a Peso Problem,San Diego。  new window
圖書
1.Greene, William H.(1997)。Econometric Analysis。Prentice Hall International, Inc.。  new window
2.Snedercor, G. W.、Cochran, W. G.(1989)。Statistical Methods。Statistical Methods。Ames, IA。  new window
其他
1.Hausman, R.,Koedijk, K.,Kool, C.,Palm, F.(1998)。The Fat-Tailedness of FX Returns,0。  new window
 
 
 
 
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