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題名:股票、外匯與貨幣市場報酬率關聯性與變異性分析--多變量EGARCH模型之多國分析
書刊名:國立屏東商業技術學院學報
作者:邢厂民 引用關係王淑民
作者(外文):Hsing, Han-minWang, Shu-min
出版日期:2007
卷期:9
頁次:頁145-163
主題關鍵詞:多變量不對稱EGARCH模型股匯市與貨幣市場報酬率波動傳遞效果波動不對稱效果Multivariate asymmetric EGARCH modelForeign exchange and interest rate returnsVolatility spillover effectVolatility asymmetric effectStock
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:39
  • 點閱點閱:73
期刊論文
1.Fletcher, J.、Marshall, A.(2005)。An empirical examination of the benefits of international diversification。Journal of International Financial Markets, Institutions and Money,15,455-468。  new window
2.Wongbangpo, P.、Sharma, S. C.(2002)。Stock market and macroeconomic fundamental dynamic interactions: ASEAN-5 countries。Journal of Asian Economics,13(3),27-51。  new window
3.廖俊男(20040600)。匯率、利率、工業生產、物價、與股價之關聯性。建華金融季刊,25,91-117。  延伸查詢new window
4.Mishra, Alok Kumar(2004)。Stock market and foreign exchange market in India: are they related?。South Asia Economic Journal,5(2),209-232。  new window
5.Chen, C.、Yang, M. J.、Gerlach, R.、Lo, H. J.(2006)。The Asymmetric Reactions of Mean and Volatility of Stock Returns to Domestic and International Information Based on a Four-Regime Double-Threshold GARCH Model。Physica A: Statistical Mechanics and its Applications,366,401-418。  new window
6.Doong, Shuh-Chyi、Yang, Sheng-Yung、Wang, Alan T.(2005)。The dynamic relationship and pricing of stocks and exchange rates: empirical evidence from Asian emerging markets。Journal of American Academy of Business,7,118-123。  new window
7.Thomas, Lee R.(1988)。Currency risks in international equity portfolios。Financial Analysts Journal,44(2),68-72。  new window
8.Mun, K. C.(2005)。Volatility and correlation in international stock markets and the role of exchange rate fluctuations。Journal of International Financial Market, Institutions & Money,17(1),25-41。  new window
9.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
10.Bodart, V.、Reding, P.(1999)。Exchange Rate Regime, Volatility and International Correlations on Bond and Stock Markets。Journal of International Money and Finance,18,133-151。  new window
11.王冠閔、黃柏農(20040300)。臺灣股、匯市與美國股市關聯性探討。臺灣經濟預測與政策,34(2),31-72。new window  延伸查詢new window
12.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
13.胥愛琦、吳清豐(20030900)。臺灣股市報酬與匯率變動之波動性外溢效果--雙變量EGARCH模型的應用。臺灣金融財務季刊,4(3),87-103。new window  延伸查詢new window
14.陳隆麒、李文雄(19980400)。臺灣地區房價、股價、利率互動關係之研究--聯立方程模型與向量自我迴歸模型之應用。中國財務學刊,5(4),51-71。new window  延伸查詢new window
學位論文
1.吳宗隆(2004)。歐元匯率與美元匯率波動對台灣股市報酬影響之研究(碩士論文)。南華大學。  延伸查詢new window
2.高志宏(2003)。台灣、日本、南韓股匯市與美國股市相關性之實證研究--GARCH-in-Mean模式之應用(碩士論文)。東吳大學。  延伸查詢new window
3.張志豪(2005)。股價、利率與匯率:Branson資產組合模型之擴充(碩士論文)。世新大學。  延伸查詢new window
圖書
1.Solnik, B.、McLeavey, D.(2004)。International investments。New York:Addison Wesley。  new window
 
 
 
 
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