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題名:Nonlinear Dynamics with Transaction Costs and Arbitrage: Evidence in the Broiler Product Market of Taiwan
書刊名:農業經濟半年刊
作者:梁晉嘉林正寶 引用關係
作者(外文):Liang, Chin-chiaLin, Jeng-bau
出版日期:2008
卷期:83
頁次:頁125-145
主題關鍵詞:Nonlinear mean reversionTransaction costBroiler spreadExponential smooth transition autoregressive model非線性均值回復交易成本肉雞的價差指數平滑轉換自我迴歸模型
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:9
  • 點閱點閱:28
期刊論文
1.Michael, P.、Nobay, A. R.、Peel, D. A.、Nobay, D. A.(1997)。Transactions Costs and Nonlinear Adjustment in Real Exchange Rates: An Empirical Investigation。Journal of Political Economy,105,862-879。  new window
2.Anderson, H. M.、Teräsvirta, T.(1992)。Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models。Journal of Applied Econometrics,7,119-136。  new window
3.Monoyios, M.、Sarno, L.(2002)。Mean reversion in stock index futures markets: A nonlinear analysis。Journal of Futures Markets,22(4),285-314。  new window
4.Van Dijk, D.、Teräsvirta, T.、Franses, P. H.(2002)。Smooth Transition Autoregressive Models: A Survey of Recent Developments。Econometric Reviews,21(1),1-47。  new window
5.Dumas, B.(1992)。Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World。Review of Financial Studies,5(2),153-180。  new window
6.李建強、張佩鈴、陳珮芬(20061200)。臺灣毛豬市場批發價格的非線性模型分析。農業經濟半年刊,80,59-95。new window  延伸查詢new window
7.Abdulai, A.(2002)。Using Threshold Cointegration to Estimate Asymmetric Price Transmission in the Swiss Pork Market。Applied Economics,34(6),679-687。  new window
8.Teräsvirta, Timo(1994)。Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models。Journal of the American Statistical Association,89(425),208-218。  new window
9.Johansen, S.(1991)。Estimation and Hypothesis Testing of Cointegrating Vectors in Gaussian Vector Autoregressive Model。Econometrica,59(6),1551-1580。  new window
10.Johansen, Søren(1988)。Statistical Analysis of Cointegration Vectors。Journal of Economic Dynamics and Control,12(2/3),231-254。  new window
11.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
12.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
13.Goodwin, B. K.、Piggott, N. E.、Piggot, N. E.(2001)。Spatial Market Integration in the Presence of Threshold Effects。American Journal of Agricultural Economics,83(2),302-317。  new window
14.Davidson, R.、Labys, W. C.、Lesourd, J. B.(1998)。Wavelet Analysis of Commodity Price Behavior。Computational Economics,11,103-128。  new window
15.Shonkwiler, J. S.、Spreen, T. H.(1986)。Statistical Significance and Stability of the Hog Cycle。Southern Journal of Agricultural Economics,18,227-233。  new window
16.Labys, W. C.、Kouassi, E.、Terraza, M.(2000)。Short-term Cycles in Primary Commodity Prices。The Developing Economies,38,330-342。  new window
17.Harlow, A. A.(1960)。The Hog Cycle and the Cobweb Theorem。Journal of Farm Economics,42,842-853。  new window
18.Larson, A. B.(1964)。The Hog Cycle as Harmonic Motion。Journal of Farm Economics,46,375-386。  new window
19.Jelavich, M. S.(1973)。Distributed Lag Estimation of Harmonic Motion in the Hog Market。American Journal of Agricultural Economics,53,223-224。  new window
20.Hayes, D. J.、Schmitz, A.(1987)。Hog Cycles and Countercyclical Production Response。American Journal of Agricultural Economics,69,762-770。  new window
21.Chavas, J. P.、Holt, M. T.(1991)。Market Instability and Nonlinear Dynamics。American Journal of Agricultural Economics,73,819-828。  new window
22.Holt, M. T.、Craig, L. A.(2006)。Nonlinear Dynamics and Structural Change in the U.S. Hog-corn Cyble: A Time-varying STAR Approach。American Journal of Agricultural Economics,88(1),215-233。  new window
研究報告
1.Huang, B. W.、Yeh, C. Y.、Chen, M. G.、Lin, Y. Y.(2007)。Structural Change and Asymmetry in the Broiler Farm Price in Taiwan。Taichung。  new window
圖書
1.Tong, H.(1990)。Non-Linear Time Series: A Dynamic System Approach。Oxford:Oxford University Press。  new window
2.Granger, C. W. J.、Terävirta, T.(1993)。Modeling Nonlinear Economic Relationships。Oxford University Press。  new window
 
 
 
 
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