臺灣人文及社會科學引文索引資料庫系統

:::

詳目顯示

回上一頁
第 1 筆 / 總合 1 筆   第一頁 上一頁 下一頁 最後一頁
/1頁
題名：動態波動模型預測能力之比較與實證
書刊名：財務金融學刊
作者：周雨田 引用關係／巫春洲／劉炳麟
作者(外文)：Chou, Ray Y.／Wu, Chun-chou／Liu, Nathan
出版日期：2004
卷期：12:1
頁次：頁1-25
主題關鍵詞：變幅；波動性和槓桿效果；CARR model；GARCH model；Range；Volatility and leverage effect
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(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:0
  • 點閱點閱:37
期刊論文
1.Cassuto, A. E.(1995)。Non-Normal Error Patterns: How to Handle Them。Journal of Business Forecasting Methods and System，14(2)，15-16。  new window
2.Christoffersen, P. F.、Diebold, F.(2000)。How Relevant is Volatility Forecasting for Financial Risk Management?。Review of Economics and Statistics，82(1)，12-22。  new window
3.West, K. D.、Cho, D.(1995)。The Predictive Ability of Several Models of Exchange Rate Volatility。Journal of Econometrics，69(2)，367-391。  new window
4.Engle, R.、Russell, J.(1998)。Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data。Econometrica，66(5)，1127-1162。  new window
5.Galant, A. R.、Hsu, C. T.、Tauchen, G. E.(1999)。Calculating volatility diffusions and extracting integrated volatility。Review of Economics and Statistics，81，617-631。  new window
6.Hull, John C.、White, A.(1987)。The Pricing of Options on Assets with Stochastic Volatilities。Journal of Finance，42(2)，281-300。  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.Zakoian, Jean-Michel(1994)。Threshold Heteroskedastic Models。Journal of Economic Dynamics and Control，18(5)，931-955。  new window
9.Baillie, R. T.、DeGennaro, R. P.(1990)。Stock Returns and Volatility。Journal of Financial and Quantitative Analysis，25(2)，307-327。  new window
10.Karpoff, Jonathan M.(1987)。The Relation between Price Changes and Trading Volume: A Survey。Journal of Financial and Quantitative Analysis，22(1)，109-126。  new window
11.Morgan, I. G.(1976)。Stock Prices and Heteroscedasticity。Journal of Business，49，496-508。  new window
12.Fama, E. F.(1965)。The behavior of stock market prices。Journal of Business，38(1)，34-105。  new window
13.Odean, Terrance(1998)。Volume, Volatility, Price, and Profit When All Traders Are Above Average。Journal of Finance，53(6)，1887-1934。  new window
14.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
15.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
16.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics，31(3)，307-327。  new window
17.Andersen, Torben G.、Bollerslev, Tim(1997)。Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns。The Journal of Finance，52(3)，975-1005。  new window
18.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
19.Bollerslev, Tim、Wooldridge, Jeffrey M.(1992)。Quasi Maximum Likelihood Estimation and Inference in Dynamic Models with Time Varying Covariances。Econometric Reviews，11(2)，143-172。  new window
20.Alizadeh, Sassan、Brandt, Michael W.、Diebold, Francis X.(2002)。Range-based Estimation of Stochastic Volatility Models。The Journal of Finance，57(3)，1047-1091。  new window
21.Parkinson, Michael(1980)。The extreme value method for estimating the variance of the rate of return。Journal of Business，53(1)，61-65。  new window
22.Mandelbrot, Benoit B.(1963)。The Variation of Certain Speculative Prices。The Journal of Business，36(4)，394-419。  new window
23.Poterba, J. M.、Summers, L. H.(1986)。The Persistence of Volatility and Stock Market Fluctuations。The American Economic Review，76，1141-1151。  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
研究報告
1.Brandt, M. W.、Jones, C. S.(2002)。Volatility Forecasting with Ranged-Based EGARCH Models。University of Pennsylvania。  new window
2.Chou, R.(2003)。Forecasting financial volatilities with extreme values: the Conditional AutoRegressive Range (CARR) Model。Taiwan。  new window
圖書
1.Books, Chris(2002)。Introductory Econometrics for Finance。Cambridge：Cambridge University Press。  new window
2.O'Hara, Maureen(1995)。Market Microstructure Theory。Cambridge, Massachusetts：Basil Blackwell Publisher Inc.。  new window
其他
1.Brandt, M. W.，Diebold, F.(2004)。A No-arbitrage Approach to Range-based Estimation of Return Coveriance and Correlations，0。  new window
圖書論文
1.Bollerslev, T.、Engle, R. F.、Nelson, D. B.(1994)。ARCH models。Handbook of Econometrics。Elsevier Science, Amsterdam：North-Holland。  new window
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
QR Code
QRCODE

臺灣人文及社會科學引文索引資料庫

目前上線人數：1390（臺灣：1371，外國：19） ／ 本年度總使用人次：2459241 ／ 訪客人次（自102年09月）：68265003
國家圖書館著作權聲明 Copyright © 2013 All rights reserved.
本館地址: 100201臺北市中山南路20號． 本館地圖及交通資訊．
總機：(02)23619132．最佳瀏覽解析度為1024x768以上