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題名:臺指現貨與期貨上下變幅對波動性之分析--GARCH-X模型的應用
書刊名:真理財經學報
作者:胡緒寧蘇欣玫蘇榮斌
作者(外文):Hu, Hsu-NingSu, Hsin-MeiSu, Jung-Bin
出版日期:2006
卷期:15
頁次:頁29-46
主題關鍵詞:調整後之上下變幅成交量變動因子GARCH-X模型Adjusted up and down rangeVolume effectsGARCH-X model
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:8
  • 點閱點閱:53
期刊論文
1.Staikouras, S. K.(2006)。Testing the stabilization hypothesis in the UK short-term interest rates: Evidence from a GARCH-X model。Quarterly Review of Economics and Finance,46(2),169-189。  new window
2.Grammatikos, T.、Saunders, A.(1986)。Futures Price Variability: A Test of Maturity and Volume Effects。The Journal of Business,59(2),319-330。  new window
3.Cornell, B.(1981)。The relationship between volume and price variability in futures markets。Journal of Futures Markets,1(3),303-316。  new window
4.Chang, E.、Chou, R. Y.、Nelling, E. F.(2000)。Market volatility and the demand for hedging in stock index fiitures。The Journal of Futures Markets,20,105-125。  new window
5.Engle, R.、Russell, J.(1998)。Autogressive conditional duration: a new model for irregular spaced transaction data。Econometrica,66,1127-1162。  new window
6.Mandelbrot, B.(1971)。When can price be arbitraged efficiency? A limit to the validity of the random walk and martingale models。Review of Economics and Statistics,53,225-236。  new window
7.Westerfield, Janice M.(1977)。An examination of foreign exchange risk under fixed and floating rate regimes。Journal of International Economics,7,181-200。  new window
8.Becker, S.(1983)。Variance of Security Price Return Based on High, Low and Closing Prices。Journal of Business,56,97-112。  new window
9.Lo, Andrew W.、Mamaysky, Harry M.、Wang, Jiang(2000)。Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation。Journal of Finance,55(4),1705-1765。  new window
10.Najand, M.、Yung, K.(1991)。A GARCH Examination of the Relationship between Volume and Price Variability in Futures Markets。Journal of Futures Markets,11(5),465-478。  new window
11.Board, J. L. G.、Sutcliffe, C. M. S.(1990)。Information, volatility, volume and maturity: an investigation of stock index futures。Review of Futures Markets,19(3),533-549。  new window
12.Bessembinder, Hendrik、Seguin, Paul J.(1993)。Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets。Journal of Financial and Quantitative Analysis,28(1),21-39。  new window
13.Morgan, I. G.(1976)。Stock Prices and Heteroscedasticity。Journal of Business,49,496-508。  new window
14.Clark, Peter K.(1973)。A subordinated stochastic process model with finite variance for speculative prices。Econometrica,41(1),135-155。  new window
15.Davidian, M.、Carroll, R. J.(1987)。Variance Function Estimation。Journal of American Statistical Association,82(400),1079-1091。  new window
16.周雨田、巫春洲、劉炳麟(20040600)。動態波動模型預測能力之比較與實證。財金論文叢刊,1,1-23。new window  延伸查詢new window
17.Garman, Mark B.、Klass, Michael J.(1980)。On the Estimation of Security Price Volatilities from Historical Data。The Journal of Business,53(1),67-78。  new window
18.Martell, T. F.、Wolf, A. S.(1987)。Determinants of trading volume in futures markets。Journal of Futures Markets,7(3),233-244。  new window
19.Fama, E. F.(1970)。Efficiency Capital Market: A Review of Theory and Empirical Work。Journal of Finance,25,383-417。  new window
20.Copeland, T. E.(1976)。A model of asset trading under the assumption of sequential information arrival。Journal of Finance,31,1149-1168。  new window
21.Harris, Lawrence(1986)。Cross-security Tests of the Mixture of Distributions Hypothesis。Journal of Financial and Quantitative Analysis,21(1),39-46。  new window
22.Brock, William、Lakonishok, Josef、LeBaron, Blake(1992)。Simple Technical Trading Rules and the Stochastic Properties of Stock Returns。The Journal of Finance,47(5),1731-1764。  new window
23.Fama, E. F.(1965)。The behavior of stock market prices。Journal of Business,38(1),34-105。  new window
24.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
25.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
26.Chou, R. Y.(2005)。Forecasting financial volatilities with extreme values: the conditional autoregressive range (CARR) Model。Journal of Money, Credit and Banking,37(3),561-582。  new window
27.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
28.Parkinson, Michael(1980)。The extreme value method for estimating the variance of the rate of return。Journal of Business,53(1),61-65。  new window
29.Yang, D.、Zhang, Q.(2000)。Drift-independent Volatility Estimation Based on High, Low, Open, and Close Prices。Journal of Business,73,477-491。  new window
30.Malliaris, A. G.、Urrutia, J. L.(1991)。Economic Determinants of Trading Volume in Futures Markets。Economics Letters,35,157-167。  new window
單篇論文
1.Brandt, M. W.,Jones, C. S.(2002)。Volatility forecasting with range-based EGARCH models,University of Pennsylvania。  new window
2.Chou, R. Y.(2005)。Modeling the asymmetry of stock movements using price ranges,Institute of Economics, Academia Sinica。  new window
 
 
 
 
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