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題名:結構改變與美國股市影響下臺灣股、匯市風險的外溢及預測
書刊名:亞太經濟管理評論
作者:王冠閔
出版日期:2006
卷期:9:2
頁次:頁105-124
主題關鍵詞:亞洲金融危機變異結構改變風險外溢與預測變異因果關係檢定Asian financial crisisVariance structural changesRisk spillover and forecastCausality in variance
原始連結:連回原系統網址new window
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  • 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:14
  • 點閱點閱:15
期刊論文
1.Hansen, Bruce E.(2001)。The New Econometrics of Structural Change: Dating Breaks in U.S. Labor Productivity。Journal of Economic Perspectives,15(4),117-128。  new window
2.Chowdhury, A. R.(1994)。Stock Market Interdependencies: Evidence from the Asian NIEs。Journal of Macroeconomics,16(4),629-651。  new window
3.Gulen, Huseyin、Mayhew, Stewart(2000)。Stock Index Futures Trading and Volatility in International Equity Markets。The Journal of Futures Markets,20(7),661-685。  new window
4.Kaminsky, G.、Reinhart, C.(1998)。On Crises, Contagion, and Confusion。Journal of International economics,51(1),145-168。  new window
5.Ashley, R.、Granger, C. W. J.、Schmalensee, Richard(198007)。Advertising and aggregate consumption: an analysis of causality。Econometrica,58(59),1149-1168。  new window
6.Baig, Taimur、Goldfajn, Ilan(1999)。Financial Market Contagion in the Asian Crisis。IMF Staff Papers,46(2),167-195。  new window
7.Cheung, Y. W.、Ng, L. K.(1996)。A Causality-in-variance Test and Its Application to Financial Market Prices。Journal of Econometrics,72,33-48。  new window
8.Eichengreen, B.、Rose, A. K.、Wyplosz, C.(1996)。Contagious currency crises。Scandinavian Economics Review,98(4),463-484。  new window
9.Granger, C. W.、Hung, J. B.、Yang, C. W.(2000)。A Bivariate Causality between Stock Prices and Exchange Rates: Evidence from Recent Asia Flu。The Quarterly Review of Economics and Finance,40,337-354。  new window
10.Lamoureux, C. G.、Lastrapes, W. D.(1990)。Heteroscedasticity in Stock Returns Data: Volume versus GARCH Effects。The Journal of Finance,45,221-229。  new window
11.Nagayasu, J.(2001)。Currency crisis and contagion: evidence from exchange rates and sectoral stock indices of the Philippines and Thailand。Journal of Asian Economics,12(4),529-546。  new window
12.Sheng, H. C.、Tu, A. H.(2000)。A Study of Cointegration and Variance Decomposition among National Equity Indices before and during the Period of the Asian Financial Crisis。Journal of Multinational Financial Management,10(3),345-365。  new window
13.Aggarwal, C.、Inclan, C.、Lean, R.(1999)。Volationity in Emerging Stock Markets。Journal of Finacical and Quantitative Analysis,34(1),33-55。  new window
14.Hamao, Y. R.、Masulis, R. W.、Ng, V. K.(1990)。Correlations in Price Changes and Volatility across International Stock Markets。The Review of Financial Studies,3(2),281-307。  new window
15.Inclan, C.、Tiao, G. C.(1994)。Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance。Journal Of the American Statistical Association,89(427),913-923。  new window
16.Cheung, Y. L.、Mak, S. C.(1992)。The International Transmission Of Stock Market Fluctuation Between the Developed Markets and the Asian Pacific Markets。Applied Financial Economics,2(1),43-47。  new window
17.王冠閔、黃柏農(20040300)。臺灣股、匯市與美國股市關聯性探討。臺灣經濟預測與政策,34(2),31-72。new window  延伸查詢new window
18.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
19.Ross, Stephen A.(1989)。Information and Volatility: The No-arbitrage Martingale Approach to Timing and Resolution Irrelevancy。The Journal of Finance,44(1),1-17。  new window
20.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
21.Engle, Robert F.、Ito, Takatoshi、Lin, Wen-Ling(1990)。Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market。Econometrica,58(3),525-542。  new window
22.Scholes, Myron、Williams, Joseph T.(1977)。Estimating Betas from Nonsynchronous Data。Journal of Financial Economics,5(3),309-327。  new window
23.黃柏農、Sohng, S. N.、楊慶偉(1999)。State Dependent Correlation and Lead-Lag Relation When Volatility of Markets is Large Evidence from the US and Asian Emerging Markets。Journal of Economic Development,24(2),57-77。  new window
24.Huang, B. N.、Yang, C. W.(2000)。The Impact of Liberalizational on Stock Price Volatility in Emerging Markets。Journal of Comparative Economics,28,321-339。  new window
25.Huang, B. N.、Yang, C. W.(2002)。Volatility of Changes in G-5 Exchange Rates and Its Market Transmission Mechanism。International Journal of Finance and Economics,7,37-50。  new window
研究報告
1.Edwards, S.(1998)。Interest Rate Volatility, Capital Controls, and Contagion。  new window
2.Edwards, S.、Susmel, R.(2000)。Interest Rate Volatility and Contagion in Emerging Markets: Evidence from the 1990s。  new window
3.Gelos, G.、Sahay, R.(2000)。Financial Market Spillovers in Transition Economies。  new window
圖書論文
1.Engle, R. F.、Granger, C. W. J.、Robins, R.(1986)。Wholesale and retail prices: bivariate modeling with forecast able variances。Model Reliability。Cambridge:MIT Press。  new window
 
 
 
 
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