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題名:國際散裝船市場之時間變動避險比率估計:應用BGARCH及RCAR方法
書刊名:風險管理學報
作者:陳永順王旭堂
作者(外文):Chen, Yung-shunWang, Shiu-tung
出版日期:2004
卷期:6:1
頁次:頁33-56
主題關鍵詞:時間變動避險比率雙變數自我迴歸條件異質變異模式隨機係數自我迴歸模式Time-varying hedge rateBGARCH modelRCAR model
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:4
  • 點閱點閱:17
期刊論文
1.Anderson, R.、Danthine, J. P.(1980)。Hedging and Joint Production: Theory and Illustration。Journal of Finance,35,487-498。  new window
2.Bera, A. K.、John, S.(1983)。Tests for Multivariate Normality with Pearson Alternatives。Communications in Statistics: Theory and Method,12(1),103-117。  new window
3.Bera, A. K.、Higgins, M. L.(1992)。A Test for Conditional Heteroskedasicity in the Time Series Models。Journal of Time Series Analysis,13,501-519。  new window
4.Berndt, E. K.、Hall, B. H.、Hall, R. E.、Hausman, J. A.(1974)。Estimation Inference in Nonlinear Structural Models。Annals of Economic and Social Measurement,4,653-665。  new window
5.Cecchetti, S. G.、Cumby, R. E.、Figlewski, S.(1988)。Estimation of Optimal Hedge。Review of Economics and Statistics,50,623-630。  new window
6.Kavussanos, M. G.、Alizadeh, A.(2001)。The Expectation Hypothesis of the Term Structure and Risk Premia in Dry Bulk Shipping Freight Markets。Journal of Transport Economics and Policy,65-76。  new window
7.Park, H. Y.、Bera, A. K.(1987)。Interest-Rate Volatility, Basis Risk and Heteroskedasticity in Hedging Mortgages。AREUEA Journal,5,79-97。  new window
8.Pagan, A. R.(1980)。Some Identification and Estimation Results for Regression Models with Stochastically Varying Coefficients。Journal of Econometrics,13,341-363。  new window
9.Baillie, R. T.、Myers, R. J.(1991)。Bivariate GARCH Estimation of Optimal Commodity Futures Hedge。Journal of Applied Econometrics,6,109-124。  new window
10.Bos, T.、Newbold, P.(1984)。An Empirical Investigation of the Possibility of Stochastic Systematic Risk in the Market Model。Journal of Business,57(1),35-41。  new window
11.Chang, Y. T.(1996)。Predictability of the Dry Bulk Shipping Market by BIFFEX。Maritime Policy & Management,23(2),103-114。  new window
12.Davies, R. B.(1987)。Hypothesis testing when a nuisance parameter is present only under the alternative。Biometrika,74(1),33-43。  new window
13.Ederington, L. H.(1979)。The Hedging Performance of the New Futures Market。Journal of Finance,34(1),157-170。  new window
14.Gagnon, L.、Lypny, G.(1995)。Hedging Short-term Interest Risk Under Time-Varying Distributions。Journal of Futures Markets,15(7),767-783。  new window
15.張焯然(20010800)。臺股指數期貨動態避險效果之探討。臺灣管理學刊,1(1),151-164。new window  延伸查詢new window
16.Park, Tae H.、Switzer, Lorne N.(1995)。Bivariate GARCH Estimation of the Optimal Hedge Ratios for Stock Index Futures: A Note。Journal of Futures Markets,15(1),61-67。  new window
17.Engle, Robert F.、Kroner, Kenneth F.(1995)。Multivariate simultaneous generalized arch。Econometric Theory,11(1),122-150。  new window
18.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
19.Baillie, Richard T.、Bollerslev, Tim(1990)。A Multivariate Generalized ARCH Approach to Modeling Risk Premia in forward Foreign Exchange Rate Markets。Journal of International Money and Finance,9(3),309-324。  new window
20.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
21.Kroner, Kenneth F.、Sultan, Jahangir(1993)。Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures。Journal of Financial and Quantitative Analysis,28(4),535-551。  new window
22.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
圖書
1.Clarkson Research(1994)。Shipping Intelligence Weekly。London。  new window
2.Alexander, C. O.(2001)。Market Models: A Guide to Financial Data Analysis。New York:John Wiley & Sons, L。  new window
 
 
 
 
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