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題名:共整合系統中隱含共同因子之估計與應用--亞太華人地區股市關聯性之分析
書刊名:企業管理學報
作者:劉祥熹曾建國
作者(外文):Liu, Hsiang-hsiTseng, Chien-kuo
出版日期:2003
卷期:56
頁次:頁31-61
主題關鍵詞:共同因子共整合誤差修正模型Quah 分解定理Common factorsCointegrationError correction modelQuah decomposition theorem
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(2) 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:2
  • 共同引用共同引用:0
  • 點閱點閱:25
期刊論文
1.Quah, D.(1992)。The Relative Importance of Permanent and Transitory Components: Identification and Some Theoretical Bounds。Econometrica,60,107-118。  new window
2.Pantula, Sastry D.、Gonzalez-Farias, Graciela、Fuller, Wayne A.(1994)。A Comparison of Unit-Root Test Criteria。Journal of Business and Economic Statistics,12(4),449-459。  new window
3.葉銀華(19911000)。國際股票市場股價指數共移型態與關聯性之研究。臺灣經濟金融月刊,27(10)=321,11-20。  延伸查詢new window
4.Sims, C. A.(1988)。Bayesian Skepticism on Unit Root Econometrics。Journal of Economic Dynamics and Control,463-474。  new window
5.Chan, K. C.、Gup, B. E.、Pan, M. S.(1992)。An Empirical Analysis of Stock Prices in Major Asian Markets and the United States。The Financial Review,27(2),289-308。  new window
6.Dickey, D. A.、Fuller, W. A.(1981)。Likelihood ratio statistic for autoregressive time series with a unit root。Econometrics,49(4),1057-1072。  new window
7.Johansen, S.(1992)。Determination of Cointegration Rank in the Presence of a Linear Trend。Oxford Bulletin of Economics and Statistics,54(3),383-397。  new window
8.Johansen, S.(1992)。Cointegration in Partial Systems and the Efficiency of Single-Equation Analysis。Journal of Econometrics,52,389-402。  new window
9.Johansen, Soren(1994)。The Role of the Constant and Linear Terms in Cointegration Analysis of Nonstationary Variables。Econometric Reviews,13(2),205-229。  new window
10.Johansen, Soren、Juselius, Katarina(1992)。Testing Structural Hypotheses in a Multivariate Cointegration Analysis of the PPP and the UIP for UK。Journal of Econometrics,53(1-3),211-244。  new window
11.劉祥熹(19940300)。貨幣需求、利率與預期通貨膨脹率之因果關係。基層金融,28,1-17。  延伸查詢new window
12.Phillips, P. C. B.、Perron, P.(1988)。Testing for Unit Root in Time Series Regression。Biometrika,75(2),335-346。  new window
13.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
14.Johansen, Søren(1988)。Statistical Analysis of Cointegration Vectors。Journal of Economic Dynamics and Control,12(2/3),231-254。  new window
15.Johansen, Søren、Juselius, Katarina(1990)。Maximum Likelihood Estimation and Inference on Cointegration: with Applications to the Demand for Money。Oxford Bulletin of Economics and Statistics,52(2),169-210。  new window
16.Johansen, Søren(1991)。Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models。Econometrica,59(6),1551-1580。  new window
17.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
18.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
19.Said, S. E.、Dickey, David A.(1984)。Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order。Biometrika,71(3),599-607。  new window
會議論文
1.Liu Hsiang-his、Hsiao, Jung-lieh(1996)。The Price Relationships Among the Hong Kong, Taiwan and China Stock Markets : An Application of Cointegration Approach。The conference on the Theories and Practices of Securirtv and Financial Markets。Kaohsiung:National Sun Yat-sen University。  new window
學位論文
1.何啟勳(1995)。大陸股票市場研究(碩士論文)。國立臺灣大學。  延伸查詢new window
2.吳漢銘(1994)。亞太股市之換月效果、一月效果、週末效果及相關性研究(碩士論文)。淡江大學。  延伸查詢new window
3.周裕光(1994)。台灣與亞太地區股票市場連結性之實證研究(碩士論文)。國立交通大學。  延伸查詢new window
圖書
1.Liu Hsiang-hsi(1986)。ARIMA Time Series Analysis--A Case Study of U. S. Soybean Market。Agricultural Experiment Station, Iowa State University。  new window
2.Fuller, Wayne A.(1976)。Introduction to Statistical Time Series。New York, NY:John Wiley and Sons。  new window
 
 
 
 
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