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題名:立委選舉對臺灣股匯市之影響:跳躍-擴散模型應用
書刊名:東海管理評論
作者:李彥賢陳君達廖榮達
作者(外文):Lee, Yen-hsienChen, Chun-daLiau, Rukg-da
出版日期:2006
卷期:8:1
頁次:頁33-51
主題關鍵詞:跳躍-擴散模型ARJI模型GARCH-constant jump模型立委選舉Jump-diffusion modelARJI modelGARCH-constant jump modelLegislative election
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(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:24
  • 點閱點閱:23
期刊論文
1.莊忠柱、王譯賢(20030600)。政黨輪替與股市大崩盤對美國股市股價變動與波動性的影響。東吳經濟商學學報,41,1-24。new window  延伸查詢new window
2.Hensel, C. R.、Ziemba, W. T.(1995)。United States Investment Returns during Democratic and Republican Administrations, 1928-1993。Financial Analysts Journal,51(2),61-69。  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.Chiu, C. L.、Lee, M.、Chen, C. D.(2005)。Removal of an investment restriction: the 'B' share experience from China's stock markets。Applied Financial Economics,15(4),273-285。  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.莊忠柱、王譯賢(20030900)。政黨輪替與股市大崩盤對股價報酬與波動性的影響--以日本為例。輔仁管理評論,10(3),163-179。new window  延伸查詢new window
9.Bakshi, Gurdip、Cao, Charles、Chen, Zhiwu(1997)。Empirical Performance of Alternative Option Pricing Models。Journal of Finance,52(5),2003-2049。  new window
10.Bates, D. S.(1996)。Jumps and Stochastic Volatility: Evidence from the Options markets。Journal of Finance,46,1009-2049。  new window
11.Bento, J. L.(1999)。Jump Risk in the Stock Market: Evidence Using Political Information。Review of Financial Economics,8,149-163。  new window
12.Das, S. R.、Sundaram, R. K.(1999)。Of Smiles and Smirks: A Term Structure Perspective。Journal of Financial and Quantitative Analysis,34(2),211-239。  new window
13.Foerster, Steven R.、Schmitz, John J.(1997)。The Transmission of U.S. Election Cycles to International Stock Returns。Journal of International Business Studies,28(1),1-27。  new window
14.林丙輝、葉仕國(19990900)。臺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,11(1)=41,61-92。new window  延伸查詢new window
15.Hsieh, G. D.、Tauchen, G.(1997)。Estimation of Stochastic Volatility Models with Diagnostic。Journal of Econometrics,81,159-201。  new window
16.Jorion, P.(1998)。On Jump Processes in the Foreign Exchange and Stock Markets。The Review of Financial Studies,1(4),427-445。  new window
17.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
18.Dickey, David A.、Fuller, Wayne A.(1981)。Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root。Econometrica: journal of the Econometric Society,49(4),1057-1072。  new window
19.Kapetanios, George、Shin, Yongcheol、Snell, Andy(2003)。Testing for a unit root in the nonlinear STAR framework。Journal of Econometrics,112(2),359-379。  new window
20.Granger, Clive William John、Newbold, Paul(1974)。Spurious Regressions in Econometrics。Journal of econometrics,2(2),111-120。  new window
研究報告
1.Das, S. R.(1998)。Poisson-Gaussian Processes and the Bond Market。National Bureau of Economic Research。  new window
學位論文
1.吳明璋(2002)。事件與政策對大陸證券市場之影響(碩士論文)。國立高雄第一科技大學。  延伸查詢new window
2.陳尚樂(2002)。政治選舉事件對股票市場之影響(碩士論文)。國立高雄第一科技大學。  延伸查詢new window
圖書
1.Hamilton, James D.(1994)。Time Series Analysis。Princeton University Press。  new window
 
 
 
 
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