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題名:金融風暴對股市間波動性的連動性影響--ARJI模型
書刊名:真理財經學報
作者:邱建良 引用關係李彥賢鄒易凭 引用關係
作者(外文):Chiu, Chien-liangLee, Yen-hsienTzou, Yi-pin
出版日期:2005
卷期:13
頁次:頁1-22
主題關鍵詞:ARJI模型金融風暴連動性ARJI modelAsian financial crisisCo-movements
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(1) 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:1
  • 共同引用共同引用:41
  • 點閱點閱:41
期刊論文
1.黎明淵、林修葳、郭憲章、楊聲勇(20030400)。美、日股市巨幅波動下的股市連動效果--美國、日本與亞洲四小龍股市實證結果。證券市場發展,15(1)=57,117-145。new window  延伸查詢new window
2.Jarrow, R. A.、Rosenfeld, E. R.(1984)。Jump Risks and the Intertemporal Capital Asset Pricing Model。Journal of Business,57(3),337-351。  new window
3.Chang, K. H.、Kim, M. J.(2001)。Jump and Time-Varying Correlations in Daily Foreign Exchange Rates。Journal of International Money and Finance,20(5),611-637。  new window
4.Kim, Harold Y.、Mei, Jianping P.(200112)。What Makes the Stock Market Jump? An Analysis of Political Risk on Hong Kong Stock Returns。Journal of International Money and Finance,20(7),1003-1016。  new window
5.Ball, C. A.、Torous, W. N.(1985)。On Jumps in Stock Returns。Journal of Financial Quantitative Analysis,10,337-351。  new window
6.Andersen, T. G.、Benzoni, L.、Lund, J.(1999)。An Empirical Investigation of Continuous-time Equity Returns Models。The Journal of Finance,57,1239-1294。  new window
7.Chan, W. H.、Maheu, J. M.(2002)。Conditional Jump Dynamics in Stock Market Return。Journal of Business and Economic Statistics,20,377-389。  new window
8.Bakshi, Gurdip、Cao, Charles、Chen, Zhiwu(1997)。Empirical Performance of Alternative Option Pricing Models。Journal of Finance,52(5),2003-2049。  new window
9.Wu, C.(2000)。International trade relations and the contagious effects of the Asian financial crisis。Review of Pacific Basin Financial Markets and Policies,3(3),367-399。  new window
10.林丙輝、葉仕國(1999)。台灣股票價格非連續跳躍變動與條件異質變異之研究。證券市場發展季刊,11,61-92。new window  延伸查詢new window
11.邱建良、劉聰衡、紀嘉政(2000)。台灣股市與國際股市共移性之研究。商管科技季刊,3,263-285。new window  延伸查詢new window
12.Akgiray, V.、Booth, G. G.(1986)。Compound distribution models of stock returns: an empirical comparison。Journal of Financial Research,10,259-280。  new window
13.Forbes, K.、Rigobon, R.(2002)。No contagion, only interdependence: Measuringstock market comovements。Journal of Finance,57,2223-2261。  new window
14.Ghosh, A.(1999)。Who moves the Asia-Pacific stock markets U.S. or Japan? Empirical evidence based on the theory of cointegration。The Financial Review,34,159-170。  new window
15.Bates, D. S.(1996)。Jumps and Stochastic Volatility: Evidence from the Options Markets。Journal of Finance,46,1009-2049。  new window
16.Das, S. R.、Sundaram, R. K.(1999)。Of Smiles and Smirks: A Term Structure Perspective。Journal of Financial and Quantitative Analysis,34,211-240。  new window
17.Hsieh, G. D.、Tauchen, G.(1997)。Estimation of Stochastic Volatility Models with Diagnostic。Journal of Econometrics,81,159-201。  new window
18.Ha, I.、Khil, J.、Lee, B.(2001)。On the rationality of Korea's stock market: was the recent Korean financial crisis due to fundamental factors。Journal of International Financial markets, Institutions and Money,11(3/4),423-441。  new window
19.Jorion, P.(1998)。On Jump Processes in the Foreign Exchange and Stock Markets。The Review of Financial Studies,1(4),427-445。  new window
20.Nimalendran, M.(1994)。Estimating the Effects of Information Surprises and Trading on Stock Returns Using a Mixed Jump-Diffusion Model。Review of Financial Studies,7,451-473。  new window
21.Merton, R. C.(1976)。The Impact on Option Pricing of Specification Error in the Underlying Stock Price Returns。The Journal of Finance,31,333-350。  new window
22.Pesaran, M. H.、Shin, Y.(1998)。Generalised Impulse Response Analysis in Linear Multivariate Models。Economics Letters,58(1),17-29。  new window
23.聶建中、蔡育迪(20001000)。亞洲金融風暴對臺灣與東南亞各國股價指數及匯率間互動的影響。企銀季刊,24(2),197-215。  延伸查詢new window
24.Jang, Hoyoon、Sul, Wonsik(2002)。The Asian financial crisis and the co-movement of Asian stock markets。Journal of Asian Economics,13(1),94-104。  new window
25.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
26.聶建中、林景春、詹凱婷(20040900)。兩岸三地股價聯動性研究。輔仁管理評論,11(2),63-82。new window  延伸查詢new window
27.王凱立、陳美玲(20030600)。亞洲金融風暴發生前後美國與臺灣股市動態關聯之進一步研究。經濟論文叢刊,31(2),191-252。new window  延伸查詢new window
28.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.Ostry, J. D.(1998)。Financial Market Contagion in the Asian Crisis。IMF。  new window
 
 
 
 
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