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題名:高頻率資料之風險值績效評估--臺灣地區的實證研究
書刊名:真理財經學報
作者:李沃牆 引用關係李盈儀
作者(外文):Lee, Wo-ChiangLee, Ying-Li
出版日期:2003
卷期:9
頁次:頁1-27
主題關鍵詞:指數期貨風險值CARCH波動率程式交易Index futuresValue at riskCARCH volatilityProgramming trading
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 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:0
  • 共同引用共同引用:8
  • 點閱點閱:14
期刊論文
1.Wei, Weixian(2002)。Forecasting Stock Market Volatility with Non-linear GARCH Models: a Case for China。Applied Economics Letters,9(3),163-166。  new window
2.Donaldson, R. G.、Kamstra, M.(1997)。An artificial neural network-GARCH model for international stock return volatility。Journal of Empirical Finance,4,17-46。  new window
3.Klaassen, F.(2002)。Improving GARCH volatility forecasts with regime-switching GARCH。Empirical Economics,27,363-394。  new window
4.Tse, Yiu-Man(1999)。Price Discovery and Volatility Spillovers in the DJIA Index and Futures Markets。Journal of Futures Markets,19(8),911-930。  new window
5.Beder, Tanya Styblo(1995)。VAR: Seductive but Dangerous。Financial Analysts Journal,51(5),12-24。  new window
6.Billio, M.、Pelizzon, L.(2000)。Value-at-Risk: A Multivariate Switching Regime Approach。Journal of Empirical Finance,7(5),531-554。  new window
7.Kuen, T. Y.、Hoong, T. S.(1992)。Forecasting Volatility in the Singpore Stock Market。Asia Pacific Journal of Management,9,1-13。  new window
8.沈大白、柯瓊鳳、鄒武哲(19980900)。風險值衡量模式之探討--以臺灣上市公司權益證券為例。東吳經濟商學學報,22,57-76。new window  延伸查詢new window
9.Alexander, C. O.、Leigh, C. T.(1997)。On the Covariance Matrices Used in Value at Risk Model。Journal of Derivative,4(3),50-62。  new window
10.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
11.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
12.Phillips, Peter C. B.、Perron, Pierre(1988)。Testing for a unit root in time series regression。Biometrika,75(2),335-346。  new window
13.Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society,59(2),347-370。  new window
14.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
研究報告
1.Hansen P. R.、Lunde, A.(2001)。A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH (1, 1)?。Department of Economics, Brown University。  new window
學位論文
1.賴昌作(2000)。股價指數期貨之避險比率與避險效益(碩士論文)。國立台灣科技大學。  延伸查詢new window
2.研德隆(1998)。VaR模式應用於台股指數期貨風險控管之研究(碩士論文)。國立政治大學。  延伸查詢new window
3.余金榮(2000)。期貨與現貨價格關連及波動性之研究-GARCH誤差修正模型之應用-(碩士論文)。國立臺北大學。  延伸查詢new window
4.林威助(2003)。多變量GARCH架構下股價指數期貨避險策略之研究(碩士論文)。國立臺北大學。  延伸查詢new window
5.陳英生(2000)。台灣股市日內報酬波動之研究(碩士論文)。國立成功大學。  延伸查詢new window
6.林美蓮(2001)。高頻率股市報酬波動性之ANN-GARCH Model(碩士論文)。國立交通大學。  延伸查詢new window
7.洪瑞成(2002)。風險值之探討-對稱與不對稱波動GARCH模型之應用(碩士論文)。淡江大學。  延伸查詢new window
8.翁勝彬(1999)。認購權證發行人市場風險值之衡量與評估(碩士論文)。東吳大學。  延伸查詢new window
 
 
 
 
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