:::

詳目顯示

回上一頁
題名:具有狀態轉換過程下的臺灣股價指數與股價指數期貨市場的報酬與波動性動態關係
書刊名:財務金融學刊
作者:莊忠柱 引用關係胡文正
作者(外文):Chuang, Chung-chuHu, Wen-cheng
出版日期:2005
卷期:13:1
頁次:頁1-30
主題關鍵詞:股價指數期貨一般化狀態轉換模型自我迴歸分配遞延模型Stock index futuresGeneralized regime-switching modelAutoregressive distributed lag 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:85
  • 點閱點閱:18
期刊論文
1.Ramchand, L.、Susmel, R.(1998)。Volatility and cross correlation across major stock market。Journal of Empirical Finance,5,397-416。  new window
2.Hamilton, J. D.(1988)。Rational-expectations Econometric Analysis of Changes in Regime: An Investigation of the Term Structure of Interest Rates。Journal of Economic Dynamics and Control,12,385-423。  new window
3.Hamilton, J. D.(1989)。A new approach to the economic analysis of nonstationary time series and business cycle)。Econometrica,57,357-384。  new window
4.Ghosh, A.(1993)。Cointegration and error correction model: International causality between index and futures prices。The Journal of Futures Markets,13,193-198。  new window
5.Miller, M. H.(1990)。International competitiveness of U. S. futures markets。Journal of Financial Service Research,4,387-408。  new window
6.Patrick, J.(2002)。Financial crisis and the great depression: A regime switching approach。Journal of Money, Credit, and Banking,34(1),76-93。  new window
7.Tse. Y. K.(1999)。Price Discovery and Volatility Spillovers in the DJIA Index and Futures Markets Returns。Journal of Futures Markets,19,911-930。  new window
8.Pesaran, M. H.、Shin, Y.(2002)。Long-run structural modeling。Econometric Reviews,21,49-88。  new window
9.Najand, M.、Yung, K.(1994)。A GARCH examination of the relationship between volume and price variability in futures markets。Journal of Futures Markets,11,465-478。  new window
10.Bentzen, J.、Engsted, T.(2001)。A revival of the autoregressive distributed lag model in estimating energy demand relationships。Energy,26(1),45-55。  new window
11.黃仁德、林彥伶(20020900)。臺灣失業率的轉換機率與預測--馬可夫轉換模型的應用。中國統計學報,40(3),303-331。new window  延伸查詢new window
12.莊忠柱(20001000)。股價指數期貨與現貨的波動性外溢:臺灣的實證。證券市場發展,12(3)=47,111-139。new window  延伸查詢new window
13.Diebold, F. X.(1986)。Modeling the persistence of conditional variances。Econometric Review,5,51-56。  new window
14.Booth, G. G.、So, R. W.、Tse, Y.(1999)。Price Discovery in the German Equity Index Derivatives Markets。The Journal of Futures Markets,19(6),619-643。  new window
15.Chu, Q. C.、Hsieh, Wen-liang G.、Tse, Y.(1999)。Price discovery on the S & P 500 index markets: An analysis of spot index, index futures, and SPDRs。International Review of Financial Analysis,8,21-34。  new window
16.黃玉娟、徐守德(19970000)。臺股指數現貨與期貨市場價格動態關聯性之研究。證券市場發展,9(3)=35,1-28。new window  延伸查詢new window
17.Iihara, Yoshio、Kato, Kiyoshi、Tokunaga, Toshifumi(1996)。Intraday Return Dynamics between the Cash and the Futures Markets in Japan。Journal of Futures Markets,16(2),147-162。  new window
18.Shyy, Gang、Vijayraghavan, Vasumathi、Scott-Quinn, Brian(1996)。A Further Investigation of the Lead-Lag Relationship between the Cash Market and Stock Index Futures Market with the Use of Bid/ Ask Quotes: the Case of France。Journal of Futures Markets,16(4),405-420。  new window
19.Tse, Y. K.(1995)。Lead-lag relationship between spot index and futures price of the Nikkei stock average。Journal of Forecasting,14(7),553-564。  new window
20.Tsay, R. S.、Tiao, G. C.(1984)。Consistent Estimates of Autoregressive Parameters and Extended Sample Autocorrelation Function for Stationary and Non-stationary ARMA Models。Journal of the American Statistical Association,79,84-96。  new window
21.Kawaller, I. G.、Koch, P. D.、Koch, T. W.(1987)。The Temporal Price Relationship between S&P 500 Futures and S&P Index。Journal of Finance,42(5),1309-1329。  new window
22.Chan, Kalok S.(1992)。A Further Analysis of the Lead-Lag Relationship Between the Cash Market and Stock Index Futures Market。Review of Financial Studies,5(1),123-152。  new window
23.徐士勛、管中閔(20011200)。九零年代臺灣的景氣循環:馬可夫轉換模型與紀卜斯抽樣法的應用。人文及社會科學集刊,13(5),515-540。new window  延伸查詢new window
24.Min, Jae Hoon、Najand, Mohammad(1999)。A Further Investigation of the Lead-lag Relationship Between the Spot Market and Stock Index Futures: Early Evidence from Korea。Journal of Futures Markets,19(2),217-232。  new window
25.Pizzi, Michael A.、Economopoulos, Andrew J.、O'Neill, Heather M.(1998)。An Examination of the Relationship Between Stock Index Cash and Futures Markets: A Cointegration Approach。Journal of Futures Markets,18(3),297-305。  new window
26.Stoll, Hans R.、Whaley, Robert E.(1990)。The Dynamics of Stock Index and Stock Index Futures Returns。Journal of Financial and Quantitative Analysis,25(4),441-468。  new window
27.Wahab, Mahmoud、Lashgari, Malek(1993)。Price Dynamics and Error Correction in Stock Index and Stock Index Futures Markets: A Cointegration Approach。Journal of Futures Markets,13(7),711-742。  new window
28.Abhyankar, Abhay H.(1995)。Return and volatility dynamics in the FT-SE 100 stock index and stock index futures markets。The Journal of Futures Markets,15(4),457-488。  new window
29.Baillie, R. T.、DeGennaro, R. P.(1990)。Stock Returns and Volatility。Journal of Financial and Quantitative Analysis,25(2),307-327。  new window
30.林常青、洪茂蔚、管中閔(20020300)。臺灣短期利率的動態行為--狀態轉換模型的應用。經濟論文,30(1),29-55。new window  延伸查詢new window
31.Gray, S. F.(1996)。Modeling the Conditional Distribution of Interest Rates as a Regime Switching Process。Journal of Financial Economics,42(1),27-62。  new window
32.Hamilton, J. D.、Susmel, R.(1994)。Autoregressive conditional heteroscedasticity and changes in regime。Journal of Econometrics,64,307-333。  new window
33.Lamoureux, C. G.、Lastrapes, W. D.(1990)。Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects。The Journal of Finance,45(1),221-229。  new window
34.Kim, C. J.(1994)。Dynamic linear models with Markov-switching。Journal of Econometrics,60,1-22。  new window
35.Akgiray, Vedat(1989)。Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts。The Journal of Business,62(1),55-80。  new window
36.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
37.Bollerslev, Tim(1987)。A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return。The Review of Economics and Statistics,69(3),542-547。  new window
38.Lamoureux, Christopher G.、Lastrapes, William D.(1990)。Persistence in Variance, Structural Change, and the GARCH Model。Journal of Business and Economic Statistics,8(2),225-234。  new window
39.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
研究報告
1.Patrick, J.(1995)。An autoregressive distributed lag modeling approach to cointegration analysis。Department of Applied Economics, University of Cambridge。  new window
圖書論文
1.MacKinnon, J. D.(1991)。Critical value for cointegration tests。Long-run economic relationship: readings in cointegration。Oxford:Oxford University Press。  new window
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
:::
無相關著作
 
無相關點閱
 
QR Code
QRCODE