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題名:臺灣與日本股價市場報酬波動之關聯性分析--雙變量非對稱GARCH模型之應用
書刊名:興國學報
作者:洪萬吉廖育珮楊伯皎
作者(外文):Horng, Wann-jyiLiao, Yu-peiYang, Po-chaio
出版日期:2007
卷期:8
頁次:頁111-126
主題關鍵詞:股票市場報酬臺灣加權股價指數東京日經225股價指數雙變量GARCH模型非對稱效果雙變量非對稱GARCH模型Stock market returnsTokyo NK-255 indexTaiwan weighted stock indexBivariate GARCH modelAsymmetrical effectBivariate asymmetric GARCH model
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:6
  • 點閱點閱:18
期刊論文
1.黃柏農、Granger, Clive William John、楊慶偉(2000)。A Bivariate Causality between Stock Prices and Exchange Rates: Evidence from Recent Asian Flu。The Quarterly Review of Economics and Finance,40(3),337-354。  new window
2.Johansen, S.(1991)。Estimation and Hypotheses in Testing of Cointegration Vector in Gaussian Vector Autoregressive Model。Econometrica,59,1551-1580。  new window
3.Yang, Sheng-Yung、Doong, Shuh-Chyi(20040800)。Price and Volatility Spillovers between Stock Prices and Exchange Rates: Empirical Evidence from the G-7 Countries。International Journal of Business and Economics,3(2),139-153。new window  new window
4.Poon, W. P. H.、Fung, H. G.(2000)。Red chips or H shares: which China-backed securities process information the fastest?。Journal of Multinational Financial Management,10,315-343。  new window
5.Christie, A. A.(1982)。The Stochastic Behavior of Common Stock Variance: Value, Leverage and Interest Rate Effects。Journal of Financial Economics,10(4),407-432。  new window
6.Engle, Robert F.、Ng, Victor K.(1993)。Measuring and testing the impact of news on volatility。The Journal of Finance,48(5),1749-1778。  new window
7.French, Kenneth R.、Schwert, G. William、Stambaugh, Robert F.(1987)。Expected stock returns and volatility。Journal of Financial Economics,19(1),3-29。  new window
8.Koutmos, Gregory、Booth, G. Geoffrey(1995)。Asymmetric Volatility Transmission in International Stock Markets。Journal of International Money and Finance,14(6),747-762。  new window
9.Koutmos, G.(1996)。Modeling the Dynamic Interdependence of Major European Stock Markets。Journal of Business Finance & Accounting,23(7),975-988。  new window
10.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
11.Nelson, D. B.(1990)。Stationarity and Persistence in the GARCH(1,1) Model。Econometric Theory,6(3),318-334。  new window
12.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
13.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
14.Dickey, David A.、Fuller, Wayne A.(1979)。Distribution of the Estimators for Autoregressive Time Series With a Unit Root。Journal of the American Statistical Association,74(366),427-431。  new window
15.Campbell, John Y.、Hentschel, Ludger(1992)。No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns。Journal of Financial Economics,31(3),281-318。  new window
16.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
17.Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society,59(2),347-370。  new window
18.Glosten, Lawrence R.、Jagannathan, Ravi、Runkle, David E.(1993)。On the Relation Between the Expected Value and the Volatility on the Nominal Excess Returns on Stocks。Journal of Finance,48(5),1779-1801。  new window
研究報告
1.Wang, K. L.、Barrett, C. B.(2002)。A new look at the trade volume effects of real exchange rate risk。Cornell University。  new window
圖書
1.Tsay, R. S.(2004)。Analysis of Financial Time Series。New York:John Wiley & Sons, Inc。  new window
 
 
 
 
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