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題名：條件高階動差於財務金融市場之應用
書刊名：財務金融學刊
作者：王凱立／林嘉慧
作者(外文)：Wang, Kai-li／Lin, Jai-hui
出版日期：2003
卷期：11:2
頁次：頁1-42
主題關鍵詞：一般自我迴歸條件變異數；偏態；峰態；動差；風險溢酬；分佈；GARCH model；Skewness；Kurtosis；Moments；Risk premium；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(3) 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:66
  • 點閱點閱:49
期刊論文
1.Chen, J.、Hong, H.、Stein, J. C.(2001)。Forecasting Crashes: Trading Volume, Past Returns, and Conditional Skewness in Stock Prices。Journal of Financial Economics，61(3)，345-381。  new window
2.周雨田(1988)。Volatility Persistence and Stock Valuations: Some Empirical Evidence Using GARCH。Journal of Applied Econometrics，3(4)，279-294。  new window
3.La Porta, R.(1996)。Expectations and the Cross-Section of Returns。The Journal of Finance，51，1715-1743。  new window
4.Chan, K. C.、Karolyi, G. A.、Stulz, R. M.(1992)。Global Financial Markets and the Risk Premium on U. S. Equity。Journal of Financial Economics，32，137-167。  new window
5.Campbell, John Y.(1987)。Stock Returns and the Term Structure。Journal of Financial Economics，18(2)，373-399。  new window
6.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
7.Hentschel, L.(1995)。All in the Family Nesting Symmetric and Asymmetric GARCH Models。Journal of Financial Economics，39(1)，71-104。  new window
8.Shleifer, Andrei、Vishny, Robert W.(1997)。The Limits of Arbitrage。Journal of Finance，52(1)，35-55。  new window
9.Bhushan, R.、Brown, D. P.、Mello, A. S.(1997)。Do Noise Traders "Create Their Own Space?"。Journal of financial and quantitative analysis，32，25-45。  new window
10.Engle, R. F.(1982)。Autoregressive Conditional Heteroske- dasticity with Estimates of the Variance of U.K. Inflation。Econometrica，50(4)，987-1008。  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.Nam, Kiseok、Pyun, Chong S.、Avard, Stephen L.(2001)。Asymmetric Reverting Behavior of Short-horizon Stock returns: An Evidence of Stock Market Overreaction。Journal of Banking & Finance，25(4)，807-824。  new window
16.Koutmos, Gregory(1998)。Asymmetries in the Conditional Mean and the Conditional Variance: Evidence from Nine Stock Markets。Journal of Economics and Business，50(3)，277-290。  new window
17.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
18.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
19.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
20.De Long, J. Bradford、Shleifer, Andrei、Summers, Lawrence H.、Waldmann, Robert J.(1990)。Positive Feedback Investment Strategies and Destabilizing Rational Speculation。Journal of Finance，45(2)，379-395。  new window
21.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
22.Sentana, E.、Wadhwani, S. W.(1992)。Feedback traders and stock return autocorrelations: Evidence from a century of daily data。Economic Journal，102，415-425。  new window
23.Braun, P. A.、Nelson, D. B.、Sunier, A. M.(1995)。Good News, Bad News, Volatility, and Betas。Journal of Finance，50(5)，1575-1603。  new window
24.Fornari, F.、Mele, A.(1997)。Sign- and volatility-switching ARCH models: Theory and applications to international stock markets。Journal of Applied Econometrics，12(1)，49-65。  new window
25.DeLong, J. Bradford、Shleifer, Andrei、Summers, Lawrence H.、Waldmann, Robert J.(1991)。The survival of noise traders in financial markets。Journal of Business，64(1)，1-19。  new window
26.Harvey, Campbell R.、Siddique, Akhtar(2000)。Conditional skewness in asset pricing tests。The Journal of Finance，55(3)，1263-1295。  new window
27.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
28.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
29.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
30.de Long, J. Bradford、Shleifer, Andrei、Summers, Lawrence H.、Waldmann, Robert J.(1990)。Noise trader risk in financial markets。Journal of Political Economy，98(4)，703-738。  new window
31.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
32.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics，31(3)，307-327。  new window
33.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
34.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
35.Loretan, Mico、Phillips, Peter C. B.(1994)。Testing the Covariance Stationarity of Heavy-Tailed Time Series: An Overview of the Theory With Applications to Several Financial Datasets。Journal of Empirical Finance，1(2)，211-248。  new window
36.Wu, Guojun、Bekaert, Geert(2000)。Asymmetric Volatility and Risk in Equity Markets。Review of Financial Studies，13(1)，1-42。  new window
37.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
38.Wu, Guojun(2001)。The Determinants of Asymmetric Volatility。The Review of Financial Studies，14(3)，837-859。  new window
39.Hansen, Bruce E.(1994)。Autoregressive conditional density estimation。International Economic Review，35(3)，705-730。  new window
40.Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society，59(2)，347-370。  new window
41.Theodossiou, P.(1998)。Financial data and the skewed generalized T distribution。Management Science，44(12, Part 1)，1650-1661。  new window
42.Daniel, Kent D.、Hirshleifer, David A.、Subrahmanyam, Avanidhar(1998)。Investor Psychology and Security Market under- and Overreactions。The Journal of Finance，53(6)，1839-1885。  new window
43.Poterba, James M.、Summers, Lawrence H.(1988)。Mean Reversion in Stock Prices: Evidence and Implications。Journal of Financial Economics，22(1)，27-59。  new window
44.李春安(19990400)。後見之明心理與股市反應不足、過度反應理論。中國財務學刊，7(1)，17-58。new window  延伸查詢new window
45.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
46.McDonald, J. B.、Xu, Y. J.(1995)。A Generalization of the Beta Distribution with Applications。Journal of Econometrics，66，133-152。  new window
47.McDonald, J. B.(1991)。Parametric Models for Partially Adaptive Estimation with Skewed and Leptokurtic Residuals。Economics Letters，37(3)，273-278。  new window
48.黃彥聖(1997)。An Empirical Test of the Risk-Return Relationship on the Taiwan Stock Exchange。Applied Financial Economics，7，229-239。  new window
49.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
50.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
51.Su, Tie、Corrado, C. J.(1996)。S&P 500 Index Option Tests of Jarrow and Rudd's Approximate Option Valuation Formula。The Journal of Futures Markets，16(6)，611-629。  new window
52.Duffee, Gregory R.(1995)。Stock Returns and Volatility: A Firm-Level Analysis。Journal of Financial Economics，37，399-420。  new window
53.Fang, Hsing、Lai, Tsong-Yue(1997)。Co-Kurtosis and Capital Asset Pricing。The Financial Review，32(2)，293-307。  new window
54.Gennotte, G.、Marsh, T. A.(1993)。Variations in Economic Uncertainty and Risk Premiums on Capital Assets。European Economic Review，37(5)，1021-1042。  new window
55.Harvey, C. R.、Siddique, A.(1999)。Autoregressive Conditional Skewness。Journal of Financial and Quantitative Analysis，34，465-487。  new window
56.李阿乙、Moy, R. L.、李正福(1996)。A Multivariate Test of the Covariance-Co-Skewness Restriction for the Three Moment CAPM。Journal of Economics & Business，48，515-523。  new window
57.Peiro, A.(1999)。Skewness in Financial Returns。Journal of Banking & Finance，23，847-862。  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
2.杜秉倫、林楚雄(2001)。SIMEX臺指期貨交易對臺灣股市週末效應與波動行為影響之研究。沒有紀錄。  延伸查詢new window
研究報告
1.Hong, Harrison、Stein, J. C.(1999)。Differences of Opinion, Rational Arbitrage and Market Crashes。沒有紀錄。  new window
2.Leon, A.、Rubio, G.、Serna, G.(2002)。Autoregressive Conditional Volatility, Skewness and Kurtosis。沒有紀錄。  new window
3.Premaratne, G.、Bera, A. K.(2001)。Modeling Asymmetry and Excess Kurtosis in Stock Return Data。沒有紀錄。  new window
圖書
1.Nofsinger, J.(2002)。Investing Psychology。Pearson Inc。  new window
2.Box, G. E. P.、Jenkins, G. M.、Reinsel, G. C.(1976)。Time Series Analysis: Forecasting and Control。San Francisco：Holden-Day。  new window
3.Pagan, A. R.、Hong, Y. S.(1991)。Nonparametric Estimation and the Risk Premium。Nonparametric and Semiparametric Methods in Econometrics and Statistics。Cambridge, UK。  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
3.Hausman, R.，Koedijk, K.，Kool, C.，Palm, F.(1998)。The Fat-Tailedness of FX Returns，0。  new window
圖書論文
1.Blanchard, Olivier J.、Watson, Mark W.(1982)。Bubbles, Rational Expectations and Financial Markets。Crises in the Economic and Financial Structure。Lexington, MA：Lexington Books。  new window
 
 
 
 
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