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題名:On the Discrimination of Competing GARCH-type Models for Taiwan Stock Index Returns
書刊名:經濟論文
作者:陳宜廷 引用關係
作者(外文):Chen, Yi-ting
出版日期:2003
卷期:31:3
頁次:頁369-405
主題關鍵詞:波動不對稱性干擾項分配序列獨立Asymmetric volatilityGARCHInnovation distributionSerial independence
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(1) 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.Hentschel, L.(1995)。All in the Family Nesting Symmetric and Asymmetric GARCH Models。Journal of Financial Economics,39(1),71-104。  new window
2.Brock, William Allen、Dechert, W. Davis、Scheinkman, Jose Alexandre、LeBaron, Blake Dean(1996)。A Test for Independence Based on the Correlation Dimension。Econometric Reviews,15(3),197-235。  new window
3.Jarque, Carlos M.、Bera, Anil K.(1980)。Efficient Tests for Normality, Homoscedasticity and Serial Independence of Regression Residuals。Economics Letters,6(3),255-259。  new window
4.Hsieh, David A.(1993)。Implications of Nonlinear Dynamics for Financial Risk Management。Journal of Financial and Quantitative Analysis,28(1),41-64。  new window
5.Engle, R. F.(1982)。Autoregressive Conditional Heteroske- dasticity with Estimates of the Variance of U.K. Inflation。Econometrica,50(4),987-1008。  new window
6.McLeod, A. I.、Li, W. K.(1983)。Diagnostic Checking ARMA Time Series Models Using Squared-Residual Autocorrelations。Journal of Time Series Analysis,4,269-273。  new window
7.Chen, Y. T.、Chou, R. Y.、Kuan, C. M.(2000)。Testing Time Reversibility without Moment Restrictions。Journal of Econometrics,95(1),199-218。  new window
8.Zakoian, Jean-Michel(1994)。Threshold Heteroskedastic Models。Journal of Economic Dynamics and Control,18(5),931-955。  new window
9.Baillie, R. T.、DeGennaro, R. P.(1990)。Stock Returns and Volatility。Journal of Financial and Quantitative Analysis,25(2),307-327。  new window
10.Engle, R. F.、Lilien, D. M.、Robins, R. P.(1987)。Estimating time varying risk premia in the term structure: The ARCH-M model。Econometrica,55(2),391-407。  new window
11.Pagan, Adrian R.、Schwert, G. William(1990)。Alternative Models for Conditional Stock Volatility。Journal of Econometrics,45(1/2),264-290。  new window
12.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
13.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
14.French, Kenneth R.(1980)。Stock Returns and the Weekend Effect。Journal of Financial Economics,8(1),55-69。  new window
15.Lin, Bing-Huei、Yeh, Shih-Kuo(2000)。On the Distribution and Conditional Heteroscedasticity in Taiwan Stock Prices。Journal of Multinational Financial Management,10(3/4),367-395。  new window
16.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
17.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
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.Vlaar, Peter J. G.、Palm, Franz C.(1993)。The message in weekly exchange rates in the european monetary system: mean reversion, conditional heteroskedasticity and Jumps。Journal of Business and Economic Statistics,11(3),351-360。  new window
20.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
21.Engle, Robert(2002)。New Frontiers for ARCH Models。Journal of Applied Econometrics,17(5),425-446。  new window
22.Hansen, Bruce E.(1994)。Autoregressive conditional density estimation。International Economic Review,35(3),705-730。  new window
23.Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society,59(2),347-370。  new window
24.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
25.Mandelbrot, Benoit B.(1963)。The Variation of Certain Speculative Prices。The Journal of Business,36(4),394-419。  new window
26.Yang, Seung-Ryong、Brorsen, B. W.(1994)。Nonlinear Dynamics and the Distribution of Daily Stock Index Returns。The Journal of Financial Research,17(2),187-203。  new window
27.Andrews, D. W. K.(1997)。A Conditional Kolmogorov Test。Econometrica,65,1097-1128。  new window
28.Brooks, C.、Heravi, S. M.(1999)。The Effect of (Mis-Specified) GARCH Filters on the Finite Sample Distribution of the BDS Test。Computational Economics,13,147-162。  new window
29.Brooks, C.、Henry, O. T.(2000)。Can Portmanteau Nonlinearity Tests Serve as General Mis-specification Tests? Evidence from Symmetric and Asymmetric GARCH Models。Economics Letters,67,245-251。  new window
30.陳宜廷、管中閔(2002)。Time Irreversibility and EGARCH Effects in U. S. Stock Index Returns。Journal of Applied Econometrics,17(5),565-578。  new window
31.朱家祥(1995)。Detecting Parameter Shift in GARCH Models。Econometric Reviews,14(2),241-266。  new window
32.Cox, D. R.(1991)。Long-range Dependence, Non-Linearity and Time Irreversibility。Journal of Time Series Analysis,12,329-335。  new window
33.Rothman, P.(1992)。The Comparative Power of the TR Test against Simple Threshold Models。Journal of Applied Econometrics,7(Supplement),187-196。  new window
34.蔡麗茹、葉銀華(2000)。Asymmetric Nested GARCH Models, Trading Volume and Return Volatility: An Empirical Study of Taiwan Stock Market。Advances in Investment Analysis and Portfolio Management,7,145-161。  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
36.Harvey, C. R.、Siddique, A.(1999)。Autoregressive Conditional Skewness。Journal of Financial and Quantitative Analysis,34,465-487。  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
研究報告
1.陳宜廷(2002)。A New Class of Characteristic-Function-Based Tests and Its Application to GARCH Model。沒有紀錄。  new window
2.Hueng, James Chia-Yang、Brooks, R.(2002)。Forecasting Asymmetries in Stock Returns: Evidence from Higher Moments and Conditional Densities。沒有紀錄。  new window
3.Premaratne, G.、Bera, A. K.(2001)。Modelling Asymmetry and Excess Kurtosis in Stock Return Data。沒有紀錄。  new window
4.Watanabe, T.、Asai, M.(2001)。Stochastic Volatility Models with Heavy-Tailed Distributions: A Bayesian Analysis。沒有紀錄。  new window
圖書
1.Tong, H.(1990)。Non-Linear Time Series: A Dynamic System Approach。Oxford:Oxford University Press。  new window
2.Taylor, S. J.(1986)。Modelling Financial Time Series。Chichester:New York:John Wiley & Sons:John Wiley & Sons。  new window
 
 
 
 
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