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題名:變動相關雙變量GARCH-M模型股票市場匯率貶值效果
書刊名:證券市場發展季刊
作者:方文碩 引用關係張倉耀 引用關係葉志權 引用關係
作者(外文):Fang, Wen ShwoChang, Tsang YaoYeh, Chih Chuan
出版日期:2007
卷期:19:3=75
頁次:頁87-116
主題關鍵詞:股票報酬匯率貶值結構性改變變動相關雙變量GARCH-M模型風險值Stock returnsExchange rate depreciationStructural changeTime-varying correlation bivariate GARCH-M modelValue at risk
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:9
  • 點閱點閱:29
期刊論文
1.Hansen, Bruce E.(2001)。The New Econometrics of Structural Change: Dating Breaks in U.S. Labor Productivity。Journal of Economic Perspectives,15(4),117-128。  new window
2.Chowdhury, A. R.(1994)。Stock Market Interdependencies: Evidence from the Asian NIEs。Journal of Macroeconomics,16(4),629-651。  new window
3.Mukherjee, Tarun K.、Naka, Atsuyuki(1995)。Dynamic relations between Macroeconomic variables and the Japanese stock market: An application of a vector error correction model。The Journal of Financial Research,18(2),223-237。  new window
4.Osterwald-Lenum, M.(1992)。Practitioner's Corner - A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics。Oxford Bulletin of Economics and Statistics,54,461-472。  new window
5.Sadorsky, P.(2003)。The Macroecononomics Determinants of Technology Stock Price Volatility。Review of Financial Economics,12,191-205。  new window
6.Lee, T. H.(1994)。Spread and Volatility in Spot and Forward Exchange Rates。Journal of International Money and Finance,13,375-383。  new window
7.Solnik, B.(1987)。Using financial prices to test exchange rate models: a note。Journal of Finance,42(1),141-149。  new window
8.Ma, Christopher K.、Kao, G. Wenchi(1990)。On Exchange Rate Changes and Stock Price Reactions。Journal of Business Finance & Accounting,17(3),441-449。  new window
9.Chiang, T. C.、Yang, S. Y.、Wang, T. S.(2000)。Stock Return and Exchange Rate Risk: Evidence from Asian Stock Markets Based on a Bivariate GARCH Model。International Journal of Business,5(2),97-117。  new window
10.Dornbusch, R.、Fischer, S.(1980)。Exchange Rates and the Current Account。American Economic Review,70(5),960-971。  new window
11.Engle, R. F.(1982)。Autoregressive Conditional Heteroske- dasticity with Estimates of the Variance of U.K. Inflation。Econometrica,50(4),987-1008。  new window
12.Chow, Gregory C.(1960)。Tests of Equality Between Sets of Coefficients in Two Linear Regressions。Econometrica,28(3),531-534。  new window
13.Hosking, J. R. M.(1980)。The Multivariate Portmanteau Statistic。Journal of the American Statistical Association,75,602-608。  new window
14.Ajayi, R. A.、Mougoue, M.(1996)。On the dynamic relation between stock prices and exchange rates。Journal of Financial Research,19(2),193-207。  new window
15.Berndt, Ernst R.、Hall, Bronwyn H.、Hall, Robert E.、Hausman, Jerry A.(1974)。Estimation and Inference in Nonlinear Structural Models。Annals of Economic and Social Measurement,3(4),653-665。  new window
16.Engle, R. F.、Lilien, D. M.、Robins, R. P.(1987)。Estimating time varying risk premia in the term structure: The ARCH-M model。Econometrica,55(2),391-407。  new window
17.Chou, R. Y.(1988)。Volatility Persistence and Stock Valuation: Some Empirical Evidence Using GARCH。Journal of Applied Econometrics,3,279-294。  new window
18.Hodrick, R. J.、Srivastava, S.(1984)。An Investigation of Risk and Return in Forward Foreign Exchange。Journal of International Money and Finance,3(1),5-29。  new window
19.Tiao, G. C.、Box, G. E. P.(1981)。Modeling Multiple Time Series with Applications。Journal of the American Statistical Association,76(376),802-816。  new window
20.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
21.Longin, Francois、Solnik, Bruno(1995)。Is the correlation in international equity returns constant: 1960-1990?。Journal of International Money and Finance,14(1),3-26。  new window
22.Engle, Robert F.(2002)。Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models。Journal of Business & Economic Statistics,20(3),339-350。  new window
23.Tse, Y. K.、Tsui, Albert K. C.(2002)。A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model with time-varying correlations。Journal of Business and Economic Statistics,20(3),351-362。  new window
24.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
25.Bollerslev, Tim、Engle, Robert F.、Wooldridge, Jeffrey M.(1988)。A Capital Asset Pricing Model with Time-Varying Covariances。Journal of Political Economy,96(1),116-131。  new window
26.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
27.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
28.Kwiatkowski, Denis、Phillips, Peter C. B.、Schmidt, Peter、Shin, Yongcheol(1992)。Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?。Journal of Econometrics,54(1-3),159-178。  new window
29.Lamoureux, Christopher G.、Lastrapes, William D.(1990)。Persistence in Variance, Structural Change, and the GARCH Model。Journal of Business and Economic Statistics,8(2),225-234。  new window
30.Phillips, Peter C. B.、Perron, Pierre(1988)。Testing for a unit root in time series regression。Biometrika,75(2),335-346。  new window
31.Fama, Eugene F.(1970)。Efficient Capital Markets: A Review of Theory and Empirical Work。The Journal of Finance,25(2),383-417。  new window
32.Jonon, Philippe(1991)。The Pricing of Exchange Rate Risk in the Stock Market。Journal of Financial & Quantitative Analysis,26(3),363-376。  new window
33.林建甫、張焯然(1997)。GARCH模型條件變異數結構變動的檢定。經濟論文,25(2),201-225。new window  延伸查詢new window
34.蔡明憲、江淑貞、郭照榮、徐守德(1999)。臺灣上市公司不同產業的外匯風險之實証研究。亞太管理評論,4(2),131-146。new window  延伸查詢new window
35.Merton, Robert C.(1980)。On Estimating the Expected Return on the Market。Journal of Financial Economics,8,323-361。  new window
36.Ratner, M.(1993)。A Cointegration Test of the Impact of Foreign Exchange Rates on U. S. Stock Market Prices。Global Finance Journal,4,93-101。  new window
37.Masih, A. M. M.、Masih, R.(1999)。Are Asian Stock Market Fluctuations Due Mainly to Intra-regional Contagion Effects? Evidence based on Asian Emerging Stock Market。Pacific-Basin Finance Journal,6,225-233。  new window
38.Longin, F. M.、Solnik, B.(2001)。Correlation Structure of International Equity Markets during Extreme Volatility Periods。The Journal of Finance,56,649-676。  new window
39.Tay, N. S. P.、Zhu, Z.(2002)。Correlations in Returns and Volatilities in Pacific-rim Stock Markets。Open Economies Review,11(1),27-47。  new window
40.Chu, C. S.(1995)。Detecting Parameter Shift in GARCH Models。Economic Review,14,241-266。  new window
41.Johansen, S.(1991)。Estimation and Hypotheses in Testing of Cointegrating Vectors in Gaussian Vector Autoregressive Models。Econometrica,59,1551-1580。  new window
42.Koutoulas, G.、Kryzanowski, L.(1996)。Macrofactor Conditional Volatility, Time-varying Risk Premia and Stock Market Return Behaviour。Financial Review,31,169-195。  new window
43.Kanas, A.(2002)。Is Exchange Rate Volatility Influenced by Stock Return Volatility? Evidence from the USA, the UK and Japan。Applied Economics Letters,9(8),501-503。  new window
44.Fang, W. S.(2001)。Stock Market Process and Expected Depreciation over the Asian Financial Crisis。Applied Economics,33,905-912。  new window
45.Kearney, C.(1998)。The Causes of Volatility in a Small, Internationally Integrated Stock Market: Ireland, July 1975-June 1994。The Journal of Financial Research,21,85-104。  new window
46.Fang, W. S.(2002)。The Effects of Currency Depreciation on Stock Returns: Evidence from Five East Asian Economics。Applied Economics Letters,9,195-199。  new window
圖書
1.Tsay, Ruey S.(2002)。Analysis of Financial Time Series。New York:John Wiley & Sons。  new window
2.Jorion, P.(2001)。Value at Risk: The New Benchmark for Managing Financial Risk。McGraw-Hill。  new window
3.Branson, W. H.、Henderson, D. W.(1985)。The Specification and Influence of Asset Markets。Handbook of International Economics。Amsterdam, Netherlands:North-Holland。  new window
4.Tobin, J.、Brainard, W. C.(1982)。Asset Markets and the Cost of Capital。Essays in Economics: Theory and Policy。Cambridge, MA。  new window
 
 
 
 
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