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題名:原油期貨的跳躍行為與跳躍相關性--CBP-GARCH模型之應用
書刊名:東海管理評論
作者:胡緒寧洪瑞成 引用關係李命志
作者(外文):Hu, Shu-ninHung, Jui-chengLee, Ming-chin
出版日期:2006
卷期:8:1
頁次:頁53-73
主題關鍵詞:CBP-GARCH模型相關跳躍強度跳躍共變異數CBP-GARCH modelCorrelated jump intensitiesJump covariance
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:19
  • 點閱點閱:17
期刊論文
1.Ewing, B. T.、Malik, F.、Ozfidan, O.(2002)。Volatility Transmission in the Oil and Natural Gas Markets。Energy Economics,24,525-538。  new window
2.郭博堯(20030400)。全球石油危機對油價的衝擊。國家政策論壇,92(夏),237-248。  延伸查詢new window
3.Fortune, P.(1999)。Are stock returns different over weekends?A jump diffusion analysis of the weekend effect。New England Economic Review,September/October,3-19。  new window
4.Chang, K. H.、Kim, M. J.(2001)。Jumps and time-varying correlations in daily foreign exchange rates。Journal of International Money and Finance,20,611-637。  new window
5.McFarland, J. W.、McMahon, P. C.、Ngama, Y.(1994)。Forward Exchange Rates and Expectations during the 1920s: A Re-examination of the Evidence。Journal of International Money and Finance,13,627-636。  new window
6.Hammoudeh, S.、Li, H.、Jeon, B.(2003)。Causality and Volatility Spillovers Among Petroleum Prices of WT1, Gasoline and Heating Oil in Different Locations。North American Journal of Economics and Finance,14,89-114。  new window
7.Adrangi B.、Chatrath A.(2000)。Alaska North Slope Crude Oil Price and the Behaviour of Diesel Prices in California。Journal of Energy Economics,23,9-42。  new window
8.邱哲修、林卓民、洪棠譑(20050400)。原油價格波動性之風險評價與預測績效探討。貨幣市場,9(2),25-45。  延伸查詢new window
9.Pan, Jun(2002)。The Jump-risk Premia Implicit in Options: Evidence from an Integrated Time-series Study。Journal of Financial Economics,63,3-50。  new window
10.McKendrick, L. A. G.(1926)。Applications of mathematics to medical problems。Proceedings of the Edinburgh Mathematical Society,44,98-130。  new window
11.Jarque, C. M.、Bera, A. K.(1987)。A Test for Normality of Observations and Regression Residuals。International Statistical Review,55(2),163-172。  new window
12.Johannes, M.(2003)。The Statistical and Economic Role of Jumps in Continuous-Time Interest Rate Models。Journal of Finance,59,227-260。  new window
13.Eraker, B.、Johannes, M.、Polson, N.(2003)。The Impact of Jumps in Volatility and Returns。Journal of Finance,58,1269-1300。  new window
14.Felmingham, B. S.、Mansfield, P.(1997)。Rationality and the Risk Premium on the Australian Dollar。International Economic Journal,11,47-58。  new window
15.Campbell, J. T.(1934)。The poisson Correlation Function。Proceedings of the Edinburgh Mathematical Society,2(4),18-26。  new window
16.Chan, W. H.(2003)。A correlated bivariate poisson jump model for foreign exchange。Empirical Economics,28(4),669-685。  new window
17.Chan, W. H.、Maheu, J. M.(2002)。Conditional Jump Dynamics in Stock Market Returns。Journal of Business and Economic Statistics,20(3),377-389。  new window
18.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
19.Lee, M. C.、Cheng, W. H.(2006)。Correlated Jumps in Crude Oil and Gasoline during the Gulf War。Applied Economics,39(7),903-913。  new window
20.Kwiatkowski, D.、Phillips, P. C. B.、Schmidt, P.、Shin, Y.(1992)。Testing the null hypothesis of stationarity against the alternative of an unit root: How sure are we that economic time series have a unit root?。Journal of Econometrics,54,159-178。  new window
21.Jorion, P.(1998)。On Jump Processes in the Foreign Exchange and Stock Markets。The Review of Financial Studies,1(4),427-445。  new window
22.Baillie, R. T.、Myers, R. J.(1991)。Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge。Journal of Applied Econometrics,6(2),109-124。  new window
23.Park, T. H.、Switzer, L. N.(1995)。Bivariate GARCH Estimation of the Optimal Hedge Ratios for Stock Index Future: A Note。Journal of Futures Markets,15,61-67。  new window
24.Maheu, John M.、Mccurdy, Thomas H.(2004)。News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns。Journal of Finance,59(2),755-793。  new window
25.Sadorsky, Perry(1999)。Oil Price Shocks and Stock Market Activity。Energy Economics,21(5)。  new window
26.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
27.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
28.Elliott, Graham、Rothenberg, Thomas J.、Stock, James H.(1996)。Efficient tests for an autoregressive unit root。Econometrica,64(4),813-836。  new window
29.Kroner, Kenneth F.、Sultan, Jahangir(1993)。Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures。Journal of Financial and Quantitative Analysis,28(4),535-551。  new window
30.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.Das, S. R.(1998)。Poisson-Gaussian Processes and the Bond Market。National Bureau of Economic Research。  new window
圖書
1.Taylor, S. J.(1986)。Modelling Financial Time Series。Chichester:New York:John Wiley & Sons:John Wiley & Sons。  new window
單篇論文
1.Baba, T.,Engle R. F.,Kraft, D.,Kroner K. F.(1989)。Multivariate Simultaneous Generalized Arch,UCSD Department of Economics。  new window
 
 
 
 
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