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題名:厚尾GARCH模型之波動性預測能力比較
書刊名:輔仁管理評論
作者:李命志洪瑞成 引用關係劉洪鈞 引用關係
作者(外文):Lee, Ming-chihHung, Jui-chengLiu, Hung-chun
出版日期:2007
卷期:14:2
頁次:頁47-71
主題關鍵詞:厚尾波動性預測GARCHPrice bundlingAssociative characteristicsInteractive characteristicsProduct bundling
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(4) 博士論文(1) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:4
  • 共同引用共同引用:0
  • 點閱點閱:28
期刊論文
1.Makridakis, S.(1993)。Accuracy Measures: Theoretical and Practical Concerns。International Journal of Forecasting,9(4),527-529。  new window
2.Inoue, Atsushi、Kilian, Lutz(2005)。In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?。Econometric Reviews,23(4),371-402。  new window
3.Armstrong, J. S.、Collopy, F.(1992)。Error measures for generalizing about forecasting methods: Empirical comparisons。International Journal of Forecasting,8(1),69-80。  new window
4.Sadorsky, P.(2006)。Modeling and Forecasting Petroleum Futures Volatility。Energy Economics,28(4),467-488。  new window
5.Awartani, B. M. A.、Corradi, V.(2005)。Predicting the volatility of the S&P-500 stock index via GARCH models: the role of asymmetries。International Journal of Forecasting,21,167-183。  new window
6.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
7.Brailsford, T. J.、Faff, R. W.(1996)。An evaluation of volatility forecasting techniques。Journal of Banking & Finance,20(3),419-438。  new window
8.Heynen, R. C.、Kat, H. M.(1994)。Volatility Prediction: A Comparison of the Stochastic Volatility, GARCH (1,1) and EGARCH (1,1) Models。Journal of Derivatives,2(2),50-65。  new window
9.Fama, E. F.(1965)。The behavior of stock market prices。Journal of Business,38(1),34-105。  new window
10.Markowitz, Harry M.(1952)。Portfolio Selection。The Journal of Finance,7(1),77-91。  new window
11.Akgiray, Vedat(1989)。Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts。The Journal of Business,62(1),55-80。  new window
12.Engle, Robert F.、Bollerslev, Tim(1986)。Modelling the Persistence of Conditional Variances。Econometric Reviews,5(1),1-50。  new window
13.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
14.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
15.Andersen, Torben Gustav、Bollerslev, Tim(1998)。Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts。International Economic Review,39(4),885-905。  new window
16.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
17.Diebold, Francis X.、Mariano, Roberto S.(1995)。Comparing Predictive Accuracy。Journal of Business and Economic Statistics,13(3),253-263。  new window
18.Politis, Dimitris N.(2004)。A Heavy-Tailed Distribution for ARCH Residuals with Application to Volatility Prediction。Annals of Economics and Finance,5(2),283-298。  new window
19.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
20.Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society,59(2),347-370。  new window
21.Mandelbrot, Benoit B.(1963)。The Variation of Certain Speculative Prices。The Journal of Business,36(4),394-419。  new window
學位論文
1.呂文正(1999)。股票報酬率之波動性研究--arch-family、swarch模型之應用(碩士論文)。國立臺灣大學。  延伸查詢new window
2.黃弘文(1998)。股價指數期貨上市對指數波動性之研究--以香港恆生指數為例(碩士論文)。國立中興大學。  延伸查詢new window
3.吳佳貞(1998)。波動度預測模型之探討(碩士論文)。國立政治大學。  延伸查詢new window
 
 
 
 
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