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題名：單一方程式共整合-GARCH模型：臺灣股市之實證研究
書刊名：經濟論文叢刊
作者：王高文／毛維凌 引用關係
作者(外文)：Wang, Gao-wen／Mao, Wei-lin
出版日期：2004
卷期：32:1
頁次：頁1-24
主題關鍵詞：單根檢定；因果檢定；共整合檢定；固定相關檢定；Unit root test；Causality test；Cointegration test；Constant correlation test
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(2) 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:37
期刊論文
1.Stock, James H.(1987)。Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors。Econometrica，55(5)，1035-1056。  new window
2.Tse, Y.(2000)。A test for constant correlations in a multivariate GARCH model。Journal of Econometrics，98(1)，107-127。  new window
3.Engle, Robert F.、Hendry, David F.、Richard, Jean F.(1983)。Exogeneity。Econometrica，51(2)，277-304。  new window
4.Phillips, P. C. B.、Hansen, B. E.(1990)。Statistical Inference in Instrumental Variables Regression with I(1) Processes。Review of Economic Studies，57(1)，99-125。  new window
5.Pagan, A. R.(1984)。Econometric Issues in the Analysis of Regressions with Generated Regressors。International Economic Review，25，221-248。  new window
6.Ahn, S. K.、Reinsel, G. C.(1990)。Estimation for Partially Nonstationary Multivariate Autoregressive Models。Journal of the American Statistical Association，85，813-823。  new window
7.Johansen, S.(1992)。Cointegration in Partial Systems and the Efficiency of Single-Equation Analysis。Journal of Econometrics，52，389-402。  new window
8.Lee, T. H.、Tse, Y.(1996)。Cointegration Tests with Conditional Heteroskedasticity。Journal of Econometrics，73(2)，401-410。  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.Pagan, A.、Ullah, A.(1988)。The Econometric Analysis of Models with Risk Terms。Journal of Applied Econometrics，3(2)，87-105。  new window
11.Granger, C. W. J.(1988)。Some Recent Development in a Concept of Causality。Journal of Econometrics，39，199-211。  new window
12.Engle, Robert F.、Kroner, Kenneth F.(1995)。Multivariate simultaneous generalized arch。Econometric Theory，11(1)，122-150。  new window
13.Johansen, Søren(1988)。Statistical Analysis of Cointegration Vectors。Journal of Economic Dynamics and Control，12(2/3)，231-254。  new window
14.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics，31(3)，307-327。  new window
15.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
16.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica，55(2)，251-276。  new window
17.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
18.Phillips, P. C. B.(1991)。Optimal Inference in Cointegrated Systems。Econometrica，59(2)，283-306。  new window
19.Franses, P. H.、Kofman, P.、Moser, J.(1994)。GARCH Effects on A Test of Cointegration。Review of Quantitative Finance and Accounting，4，19-26。  new window
20.Granger, C. W. J.、林金龍(1995)。Causality in the Long Run。Econometric Theory，11(3)，530-536。  new window
21.Hansen, B. E.(1992)。Convergence to Stochastic Integrals for Dependent Heterogeneous Processes。Econometric Theory，8(4)，489-500。  new window
22.Hansen, B. E.(1995)。Regression with Nonstationary Volatility。Econometrica，63(5)，1113-1132。  new window
23.Kim, K.、Schmidt, P.(1993)。Unit Root Tests with Conditional Heteroskedasticity。Journal of Econometrics，59(3)，287-300。  new window
24.Lee, S. W.、Hansen, B. E.(1994)。Asymptotic Theory for the GARCH(1, 1) Quasi-Maximum Likelihood Estimator。Econometric Theory，10(1)，29-52。  new window
25.Li, W. K.、凌仕卿、McAleer, M.(2002)。Recent Theoretical Results for Time Series Models with GARCH Errors。Journal of Economic Surveys，16(3)，245-269。  new window
26.Li, W. K.、凌仕卿、Wong, Heung(2001)。Estimation for Partially Nonstationary Multivariate Autoregressive Models with Conditional Heteroskedasticity。Biometrika，88(4)，1135-1152。  new window
27.凌仕卿、Li, W. K.(1998)。Limiting Distributions of Maximum Likelihood Estimators for Unstable Autoregressive Moving-Average Time Series with General Autoregressive Heteroscedastic Errors。Annals of Statistics，26(1)，84-125。  new window
28.凌仕卿、Li, W. K.(2003)。Asymptotic Inference for Unit Root Processes with GARCH(1, 1) Errors。Econometric Theory，19(4)，541-564。  new window
29.凌仕卿、Li, W. K.、McAleer, M.(2003)。Estimation and Testing for Unit Root Processes with GARCH(1, 1) Errors: Theory and Monte Carlo Evidence。Econometric Reviews，22(2)，179-202。  new window
30.凌仕卿、McAleer, M.(2003)。Asymptotic Theory for a Vector ARMA-GARCH Model。Econometric Theory，19(2)，280-310。  new window
31.Phillips, P. C. B.(1988)。Reflections on Econometric Methodology。Economic Record，64，344-359。  new window
32.Sandmann, G.、Koopman, S. J.(1998)。Estimation of Stochastic Volatility Models Via Monte Carlo Maximum Likelihood。Journal of Econometrics，87(2)，271-301。  new window
33.Seo, B.(1999)。Distribution Theory for Unit Root Tests with Conditional Heteroskedasticity。Journal of Econometrics，91(1)，113-144。  new window
34.Singleton, K. J.(2001)。Estimation of Affine Asset Pricing Models Using the Empirical Characteristic Function。Journal of Econometrics，102(1)，111-141。  new window
35.Vilasuso, J.(2001)。Causality Tests and Conditional Heteroskedasticity: Monte Carlo Evidence。Journal of Econometrics，101(1)，25-35。  new window
研究報告
1.Wong, Heung、Li, W. K.、凌仕卿(2000)。A Cointegrated Conditional Heteroskedasticity Model with Financial Applications。沒有紀錄。  new window
圖書
1.Banerjee, A.、Galbraith, J. W.、Dolado, J. J.、Hendry, D. F.(1993)。Co-Integration, Error Correction, and the Econometric Analysis of Non-Stationary Data。New York：Oxford University Press。  new window
2.Maddala, Gangadharrao S.、Kim, In-Moo(1998)。Unit Roots, Cointegration, and Structural Change。Cambridge：Cambridge University Press。  new window
3.Johansen, S.(1995)。Likelihood-based inference in cointegrated vector autoregressive models。Oxford University Press。  new window
4.Davidson, Russell、MacKinnon, James G.(1993)。Estimation and Inference in Econometrics。Oxford University Press。  new window
5.Geweke, J.(1984)。Inference and Causality in Economic Time Series Models。Handbook of Econometrics, II。Amsterdam, Netherlands。  new window
 
 
 
 
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