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題名:對富邦金融控股公司之股票市場報酬的風險因素分析:GARCH模型之應用
書刊名:正修學報
作者:洪萬吉楊永列程淑樺黃美裕
作者(外文):Horng, Wann-jyiYang, Yong LieCheng, Shu-huaHwang, Mei-ei
出版日期:2006
卷期:19
頁次:頁153-167
主題關鍵詞:股價報酬富邦金融控股公司Stock returnsARMAGARCHFubon financial holding company
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:28
  • 點閱點閱:20
期刊論文
1.Abdalla, Issam S. A.、Murinde, Victor(1997)。Exchange Rate and Stock Price Interactions in Emerging Financial Markets: Evidence on India, Korea, Pakistan and the Philippines。Applied Financial Economics,7(1),25-35。  new window
2.Booth, J. R.、Officer, D. T.(1985)。Expectations, interest rates, and commercial bank stocks。Journal of Financial Research,8(1),51-58。  new window
3.Elyasiani, E.、Mansur, I.(1998)。Sensitivity of the Bank Stock Returns Distribution to Changes in the Level and Volatility of Interest Rate: A GARCH-M Model。Journal of Banking & Finance,22,535-563。  new window
4.姜淑美、鄭婉秀、邱建良(20030300)。外資交易行為、股市及匯市動態關係之研究。風險管理學報,5(1),45-64。new window  延伸查詢new window
5.王儷容、沈中華(1999)。Do Foreign Investments Affect Foreign Exchange and Stock Markets - The Case of Taiwan。Applied Economics,31(11),1303-1314。  new window
6.田慧琦(19990100)。外資買賣對短期市場之衝擊與長期績效。證交資料,441,13-19。  延伸查詢new window
7.Nieh, C. C.、Lee, C. F.(2001)。Dynamic Relationship Between Stock Prices and Exchange Rates for G-7 Countries。Quarterly Review of Economics and Finance,41(4),477-490。  new window
8.游智賢、賴育志(19991200)。外資資訊領先地位之探討。中國財務學刊,7(3),1-26。new window  延伸查詢new window
9.倪衍森、劉明慧(20001000)。臺灣銀行業股票報酬之敏感性分析。企銀季刊,24(2),159-175。  延伸查詢new window
10.Fama, Eugene F.(19911200)。Efficient Capital Markets。Journal of Finance,46(5),1575-1617。  new window
11.Choi, J. J.、Elyasiani, E.、Kopecky, K. J.(1992)。The sensitivity of bank stock returns to market, interest and exchange rate risks。Journal of Banking & Finance,16,983-1009。  new window
12.李光輝、歐興祥、張炳耀(20001200)。外資與我國股市互動關係之探討。中央銀行季刊,22(4),67-79。new window  延伸查詢new window
13.Ljung, Greta M.、Box, George E. P.(1978)。On a Measure of Lack of Fit in Time Series Models。Biometrika,65(2),297-303。  new window
14.Nelson, D. B.(1990)。Stationarity and Persistence in the GARCH(1,1) Model。Econometric Theory,6(3),318-334。  new window
15.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
16.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
17.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
18.Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society,59(2),347-370。  new window
會議論文
1.陳勁甫、王聰雄、鄧仲傑(2002)。風險因素對股票市場報酬之敏感度分析--以台灣上市證券與保險公司股票報酬為例。第六屆財金理論與實務研討會。朝陽科技大學。  延伸查詢new window
2.Akaike, H.(1973)。Information Theory and an Extension of the Maximum Likelihood Principle。The Second International Symposium on Information Theory。Budapest:Akademiai Kiado。267-281。  new window
學位論文
1.江淑玲(2002)。外資是否主導亞太地區股市、匯市??(碩士論文)。輔仁大學。  延伸查詢new window
2.李健溢(2001)。亞洲金融危機期間通貨貶值對股票報酬的動態效果(碩士論文)。逢甲大學。  延伸查詢new window
3.李婉瑜(2001)。金融風暴前後亞洲各國股匯市波動性之相關研究(碩士論文)。東吳大學。  延伸查詢new window
4.楊啟宏(1998)。外資買賣超資訊對對個股股價之影響--臺灣股票市場之實證研究(碩士論文)。國立臺灣大學。  延伸查詢new window
5.黃于珍(1999)。外資交易行為對台灣股市之影響(碩士論文)。輔仁大學。  延伸查詢new window
圖書
1.Tsay, Ruey S.(2002)。Analysis of Financial Time Series。New York:John Wiley & Sons。  new window
 
 
 
 
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