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題名:亞太地區股市動態不對稱性之研究
書刊名:中原企管評論
作者:黃博怡 引用關係陳達新 引用關係陳君達
作者(外文):Huang, Bor-yiChen, Dar-hsinChen, Chun-da
出版日期:2003
卷期:1:2
頁次:頁147-174
主題關鍵詞:國際股市臺灣股市門檻GARCH波動傳遞Interational Stock marketTaiwan stock merketThreshold GARCHVolatility transmission
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:21
期刊論文
1.Jeon, B. N.、Von Furstenberg, G. M.(1990)。Growing International Co-Movement in Stock Price Indexes。The Quarterly Review of Economics & Business,30(3),15-30。  new window
2.Kanas, A.(1998)。Volatility Spillovers across Equity Markets: European Evidence。Applied Financial Economics,8(3),245-256。  new window
3.Aggarwal, R.、Park, Y. S.(1994)。Relationship between Daily U.S. and Japanese Equity Prices: Evidence from Spot versus Futures Markets。Journal of Banking and Finance,18(4),757-773。  new window
4.Karolyi, G. A.(1995)。A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada。Journal of Business & Economic Statistics,13(1),11-25。  new window
5.Tsay, R. S.(1998)。Testing and Modeling Threshold Autoregressive Processes。Journal of American Statistical Association,84(405),231-240。  new window
6.Lobo, Bento J.、Tufte, David(1998)。Exchange Rate Volatility: Does Politics Matter?。Journal of Macroeconomics,20(2),351-365。  new window
7.Engle, R. F.(1982)。Autoregressive Conditional Heteroske- dasticity with Estimates of the Variance of U.K. Inflation。Econometrica,50(4),987-1008。  new window
8.Pericli, A.、Christofi, A.(1999)。Correlation in Price Changes and Volatility of Major Latin American Stock Markets。Journal of Multinational Financial Management,9(3),79-93。  new window
9.Theodossion, P.、Kahya, E.、Koutoms, G. A.、Chrisofi, A.(1997)。Volatility Reversion and Correlation Structure of Returns in Major International Stock Markets。The Financial Review,32(2),205-224。  new window
10.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
11.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
12.Koutmos, G.(1996)。Modeling the Dynamic Interdependence of Major European Stock Markets。Journal of Business Finance & Accounting,23(7),975-988。  new window
13.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
14.Christie, Andrew A.(1982)。The Stochastic Behavior of Common Stock Variances: Value, Leverage and Interest Rate Effects。Journal of Financial Economics,10(4),407-432。  new window
學位論文
1.吳銀釧(1998)。臺灣與國際股市相關係數的時間序列分析及應用(碩士論文)。國立政治大學。  延伸查詢new window
其他
1.王淳儒(1997)。美、英、日、德、法與亞太新興國家股市關聯性之研究。  延伸查詢new window
2.宋瑞蛟(1993)。臺灣與亞太各國股票市場收益率之序列相關與關聯性實證研究。  延伸查詢new window
3.邱建良(2000)。國際股票市場共整合與動態關聯性之實證研究。  延伸查詢new window
4.徐守德(1993)。台灣與國際股價互動關係之研究。  延伸查詢new window
5.楊踐為(1999)。美日港臺四地股價指數聯動關係之探討。  延伸查詢new window
6.楊踐為(1998)。美、日、香港與台灣四地股價指數連動關係之探討。  延伸查詢new window
7.葉銀華(1991)。國際股票市場股價指數共移型態與關聯性之研究。  延伸查詢new window
8.羅瑞宏(1998)。美國與國際股市在金融風暴前後波動性外溢效果之因果性研究。  延伸查詢new window
9.Kempa, B.(2001)。International Correlations and Excess Returns in European Stock Markets: does EMU matter?。  new window
10.Masih, A. M. M.(1997)。Dynamic Linkage and the Propagation Mechanism Driving Major International Stock Markets: An Analysis of the Pre- and Post-Crash Eras。  new window
11.Sinclair, D.(1997)。An Examination of the Argument for Increased Investment in Emerging Markets。  new window
 
 
 
 
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