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題名：美國和臺灣股票期現貨市場之動態關聯--一般化多變量GARCH模型的應用
書刊名：經濟論文
作者：王凱立／陳美玲
作者(外文)：Wang, Kai-li／Chen, Mei-ling
出版日期：2002
卷期：30:4
頁次：頁363-407
主題關鍵詞：股市；期貨；動態關聯；多變量(G)ARCH模型；分佈；Stock market；Futures；The multivariate GARCH model；Transmission effects
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(7) 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:52
  • 點閱點閱:31
期刊論文
1.Sim, A. B.、Zurbreugg, R.(1999)。Intertemporal Volatility and Price Interactions Between Australian and Japanese Spot and Futures Stock Index Markets。Journal of Futures Markets，19(5)，523-540。  new window
2.林華德、王甡(19951000)。臺灣股市成交量對股價波動的影響1986-1994--GARCH修正模型的應用。企銀季刊，19(2)，40-58。  延伸查詢new window
3.Bhar, R.(2001)。Return and Volatility Dynamics in the Spot and Futures Markets in Australia: An Intervention Analysis in a Bivariate EGARCH-X Framework。The Journal of Futures Markets，21，833-850。  new window
4.Kamara, A.(1997)。New Evidence on the Monday Seasonal in Stock Returns。The Journal of Business，70(1)，63-84。  new window
5.Tse, Yiu-Man(1999)。Price Discovery and Volatility Spillovers in the DJIA Index and Futures Markets。Journal of Futures Markets，19(8)，911-930。  new window
6.Hentschel, L.(1995)。All in the Family Nesting Symmetric and Asymmetric GARCH Models。Journal of Financial Economics，39(1)，71-104。  new window
7.Abraham, Abraham、Ikenberry, David L.(1994)。The Individual Investor and the Weekend Effect。Journal of Financial and Quantitative Analysis，29(2)，263-277。  new window
8.Ng, Angela(2000)。Volatility Spillover Effects from Japan and the US to the Pacific-Basin。Journal of International Money and Finance，19(2)，207-233。  new window
9.Cha, B.、Oh, S.(2000)。The Relationship between Developed Equity Markets and the Pacific Basin's Emerging Equity Markets。International Review of Economics & Finance，9(4)，299-322。  new window
10.Booth, G. G.、Martikainen, T.、Tse, Y.(1997)。Price and Volatility Spillovers in Scandinavian Stock Markets。Journal of Banking and Finance，21(6)，811-823。  new window
11.Kanas, A.(1998)。Volatility Spillovers across Equity Markets: European Evidence。Applied Financial Economics，8(3)，245-256。  new window
12.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
13.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
14.Reyes, M. G.(2001)。Asymmetric volatility spillover in the tokyo stock exchange。Journal of Economics and Finance，25，206-213。  new window
15.Pagan, A. R.(1984)。Econometric Issues in the Analysis of Regressions with Generated Regressors。International Economic Review，25，221-248。  new window
16.Liu, Y. Angela、Pan, Ming-Shiun(1997)。Mean and volatility spillover effects in the U.S. and Pacific-Basin stock markets。Multinational Finance Journal，1(1)，47-62。  new window
17.Engle, R. F.(1982)。Autoregressive Conditional Heteroske- dasticity with Estimates of the Variance of U.K. Inflation。Econometrica，50(4)，987-1008。  new window
18.Deb, P.(1996)。Finite Sample Properties of Maximum Likelihood and Quasi-Maximum Likelihood Estimators of EGARCH Models。Econometric Reviews，15，51-68。  new window
19.Lee, S. W.、Hansen, B. E.(1994)。Asymptotic Theory for the GARCH (1,1) Quasi-Maximum Likelihood Estimator。Econometric Theory，10，29-52。  new window
20.Murphy, K. M.、Topel, R. H.(1985)。Estimation and Inference in Two-Step Econometric Models。Journal of Business and Economic Statistics，26，370-379。  new window
21.Pagan, A.、Ullah, A.(1988)。The Econometric Analysis of Models with Risk Terms。Journal of Applied Econometrics，3(2)，87-105。  new window
22.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
23.黃玉娟(19990100)。報酬與波動性動態關聯之研究--摩根臺股指數與指數期貨之探討。Proceedings of the National Science Council. Part C, Humanities and Social Sciences，9(1)，153-162。  延伸查詢new window
24.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
25.Baillie, R. T.、DeGennaro, R. P.(1990)。Stock Returns and Volatility。Journal of Financial and Quantitative Analysis，25(2)，307-327。  new window
26.Karpoff, Jonathan M.(1987)。The Relation between Price Changes and Trading Volume: A Survey。Journal of Financial and Quantitative Analysis，22(1)，109-126。  new window
27.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
28.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
29.Fama, E. F.(1965)。The behavior of stock market prices。Journal of Business，38(1)，34-105。  new window
30.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
31.Ljung, Greta M.、Box, George E. P.(1978)。On a Measure of Lack of Fit in Time Series Models。Biometrika，65(2)，297-303。  new window
32.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
33.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics，31(3)，307-327。  new window
34.Bollerslev, Tim(1987)。A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return。The Review of Economics and Statistics，69(3)，542-547。  new window
35.Baillie, Richard T.、Bollerslev, Tim(1990)。A Multivariate Generalized ARCH Approach to Modeling Risk Premia in forward Foreign Exchange Rate Markets。Journal of International Money and Finance，9(3)，309-324。  new window
36.Bollerslev, Tim(1990)。Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model。The Review of Economics and Statistics，72(3)，498-505。  new window
37.Lin, Wen-Ling、Engle, Robert F.、Ito, Takatoshi(1994)。Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility。Review of Financial Studies，7(3)，507-538。  new window
38.Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society，59(2)，347-370。  new window
39.Mandelbrot, Benoit B.(1963)。The Variation of Certain Speculative Prices。The Journal of Business，36(4)，394-419。  new window
40.McDonald, J. B.、Xu, Y. J.(1995)。A Generalization of the Beta Distribution with Applications。Journal of Econometrics，66，133-152。  new window
41.Cheung, Y. W.、Ng, L. K.(1996)。A Causality-in-variance Test and Its Implication to Financial Market Prices。Journal of Econometrics，72，33-48。  new window
42.Pan, Ming-Shiun、薛立言(1998)。Transmission of Stock Returns and Volatility between the U. S. and Japan: Evidence from the Stock Index Futures Markets。Asia-Pacific Financial Markets，5，211-225。  new window
43.吳中書、林金龍、周雨田(1999)。Modeling theTaiwan Stock Market and International Linkages。Pacific Economic Review，4，305-320。  new window
44.周雨田(1988)。Persistent Volatility and Stock Returns - Some Empirical Evidence Using GARCH。Journal of Applied Econometrics，3，279-294。  new window
45.Tucker, A. L.、Finnerty, J. E.、Becker, K. G.(1992)。The Intraday Interdependence Structure between U. S. and Japanese Equity Markets。The Journal of Financial Research，15，27-37。  new window
46.Fornari, F.、Mele, A.(1995)。Sign and Volatility-Switching ARCH Model Theory and Volatility。Journal of Applied Econometrics，12，49-56。  new window
47.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
48.莊忠柱(2000)。股價指數期貨與現貨的波動性外溢：臺灣的實證。證券市場發展季刊，12(3)，111-139。new window  延伸查詢new window
會議論文
1.Ohno, S.(2001)。Contagion Effect Among Equity and Foreign Exchange Markets。沒有紀錄。  new window
研究報告
1.McDonald, J. B.(1993)。Some Multivariate Generalized Beta Distributions。0。  new window
學位論文
1.吳宏達(1999)。臺股指數期貨與現貨之關聯性與預測－自我迴歸條件異質變異數族群模型之應用，0。  延伸查詢new window
2.李權欣(2001)。跨國股市現貨與期貨市場之傳導效果－以多變量三元GARCH模型之應用，0。  延伸查詢new window
3.陳豐隆(1999)。亞太盆地國家股市報酬、波動性與國家信用評比等級的關聯性，0。  延伸查詢new window
圖書
1.Gouriêroux, C.(1997)。ARCH Models and Financial Applications。New York, NY：Springer Verlag。  new window
2.Johnson, N. L.、Kotz, S.(1972)。Distributions in Statistics: Continuous Multivariate Distributions。New York, NY：John Wiley & Sons, Inc.。  new window
3.Box, G. E. P.、Jenkins, G. M.、Reinsel, G. C.(1976)。Time Series Analysis: Forecasting and Control。San Francisco：Holden-Day。  new window
4.Davis, H. T.(1935)。Tables of the Higher Mathematical Functions, Vol. II。Tables of the Higher Mathematical Functions, Vol. II。Bloomington, IN。  new window
5.Davis, H. T.(1935)。Tables of the Higher Mathematical Functions, Vol. I。Tables of the Higher Mathematical Functions, Vol. I。Bloomington, IN。  new window
其他
1.Brorsen, B. W.，Liu, S. M.(1992)。Maximum Likelihood Estimation of the Stable Distribution with A Time-Varying Scale Parameter，0。  new window
2.Pagan, A. R.，Sabau, H.(1987)。On the Inconsistence of the MLE in Certain Heteroskedasticity Regression Model，0。  new window
 
 
 
 
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