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題名：亞洲金融風暴發生前後美國與臺灣股市動態關聯之進一步研究
書刊名：經濟論文叢刊
作者：王凱立／陳美玲
作者(外文)：Wang, Kai-li／Chen, Mei-ling
出版日期：2003
卷期：31:2
頁次：頁191-252
主題關鍵詞：傳導效果；波動不對稱；多變量GARCH；多變量Student-t分佈；Transmission effect；Asymmetric volatility；Multivariate GARCH model；Multivariate student-t distribution
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(8) 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:8
  • 共同引用共同引用:74
  • 點閱點閱:47
期刊論文
1.Santis, G.、Gerard, B.(1997)。International Asset Pricing and Portfolio Diversification with Time-varying Risk。Journal of Finance，52，1881-1912。  new window
2.Hentschel, L.(1995)。All in the Family Nesting Symmetric and Asymmetric GARCH Models。Journal of Financial Economics，39(1)，71-104。  new window
3.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
4.Kanas, A.(1998)。Volatility Spillovers across Equity Markets: European Evidence。Applied Financial Economics，8(3)，245-256。  new window
5.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
6.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
7.Masih, A. M. M.、Masih, R.(1997)。Dynamic linkages and the propagation mechanism driving major international stock markets: an analysis of pre-and post-crash eras。The Quarterly Review of Economics and Finance，37(4)，859-885。  new window
8.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
9.Engle, R. F.(1982)。Autoregressive Conditional Heteroske- dasticity with Estimates of the Variance of U.K. Inflation。Econometrica，50(4)，987-1008。  new window
10.林楚雄、劉維琪、吳欽杉(19990900)。不對稱GARCH模型的研究。管理學報，16(3)，479-515。new window  延伸查詢new window
11.葉銀華、蔡麗茹(20000900)。不同波動期間之期望報酬與風險關係的實證研究--不對稱GARCH-M模型之應用。輔仁管理評論，7(2)，161-179。new window  延伸查詢new window
12.王凱立(20011200)。Modeling Asian Stock Returns with a More General Parametric GARCH Specification。財務金融學刊，9(3)，21-52。new window  new window
13.Deb, P.(1996)。Finite Sample Properties of Maximum Likelihood and Quasi-Maximum Likelihood Estimators of EGARCH Models。Econometric Reviews，15，51-68。  new window
14.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
15.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
16.Pagan, A.、Ullah, A.(1988)。The Econometric Analysis of Models with Risk Terms。Journal of Applied Econometrics，3(2)，87-105。  new window
17.周賓凰、吳壽山(19981000)。漲跌幅限制之再探討。中國財務學刊，6(2)，19-48。new window  延伸查詢new window
18.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
19.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
20.劉維琪、劉玉珍、黃建順、潘璟靜(19950400)。臺灣股市日內價格變動分析。證券市場發展，7(2)=26，47-73。new window  延伸查詢new window
21.Baillie, R. T.、DeGennaro, R. P.(1990)。Stock Returns and Volatility。Journal of Financial and Quantitative Analysis，25(2)，307-327。  new window
22.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
23.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
24.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
25.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
26.Koutmos, Gregory、Booth, G. Geoffrey(1995)。Asymmetric Volatility Transmission in International Stock Markets。Journal of International Money and Finance，14(6)，747-762。  new window
27.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
28.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
29.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics，31(3)，307-327。  new window
30.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
31.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
32.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
33.King, Mervyn A.、Wadhwani, Sushil(1990)。Transmission of Volatility between Stock Markets。The Review of Financial Studies，3(1)，5-33。  new window
34.Mittnik, S.、Paolella, M. S.(2000)。Conditional Density and Value-at-Risk Prediction of Asian Currency Exchange Rates。Journal of Forecasting，19(4)，313-333。  new window
35.Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society，59(2)，347-370。  new window
36.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
37.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
38.Fornari, F.、Mele, A.(1995)。Sign and Volatility-Switching ARCH Model Theory and Volatility。Journal of Applied Econometrics，12，49-56。  new window
39.王凱立、Fawson, C.、Barrett, C. B.(2002)。An Assessment of Empirical Model Performance When Financial Market Transactions are Observed at Different Data Frequencies: An Application to East Asian Exchange Rates。Review of Quantitative Finance and Accounting，19，111-129。  new window
40.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
41.王凱立(2000)。匯率波動風險對臺灣出口之影響：一般化多變量GARCH-M模型之應用。臺灣經濟學會年會論文集，2000，277-315。  延伸查詢new window
42.林照雄(2001)。東亞諸國股市之時間數列分析－英美的波及效果與區域內聯動。企銀季刊，24(3)，51-64。  延伸查詢new window
43.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
44.Bracker, K.、Smith, K. L.(1999)。Detecting and modeling changing volatility in the copper futures market。The Journal of Futures Markets，19，79-100。  new window
45.Brooks, C.(1997)。Linear and non-linear forecastability of high-frequency exchange rates。Journal of Forecasting，16，125-145。  new window
46.Darbar, S. M.、Deb, P.(1997)。Co-movements in International Equity Markets。The Journal of Financial Research，20(3)，305-322。  new window
47.陳美玲、王凱立(2002)。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。經濟論文，30(4)，363-407。new window  延伸查詢new window
48.沈中華、王儷容(1998)。Daily Serial Correlation, Trading Volume, and Price Limit: Evidence from the Taiwan Stock Market。Pacific-Basin Finance Journal，6，251-274。  new window
學位論文
1.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.Box, G. E. P.、Jenkins, G. M.、Reinsel, G. C.(1976)。Time Series Analysis: Forecasting and Control。San Francisco：Holden-Day。  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
 
 
 
 
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