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題名:歐元對股市波動性與風險貼水影響之研究
書刊名:企業管理學報
作者:巫春洲李正文 引用關係陳柏夆江長周
作者(外文):Wu, Chun-chouLee, Cheng-wenChen, Po-fengChiang, Chang-chou
出版日期:2007
卷期:75
頁次:頁1-35
主題關鍵詞:歐元導入股市波動性GARCH模型風險貼水Euro introductionVolatility of stock marketGarch modelRisk premium
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(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:21
期刊論文
1.Abhyankar, A. H.、Copeland, L. S.、Wong, W.(1995)。Nonlinear Dynamics in Real-Time Equity Market Indices: Evidence from the United Kingdom。The Economic Journal,105(431),864-880。  new window
2.Baillie, R.、DeGennaro, P.(1990)。Stock Return and Volatilit。Journal of Financial and Quantitative Analysis,25,203-214。  new window
3.Beltratti, A.、Morana, C.(2002)。The Effects of the Introduction of the Euro on the Volatility of European Stock Markets。Journal of Banking and Finance,26,2047-2064。  new window
4.Billio, M.、Pelizzon, L.(2003)。Volatility and Shocks Spillover before and after EMU in European Stock Markets。Journal of Multinational Financial Management,13(4/5),323-340。  new window
5.Chow, G. C.(1990)。Testing for Equality between Sets of Coefficients in Two Linear Regression Relationship over Time。Econometric,29,591-605。  new window
6.Fraser, P.(1996)。UK Excess Share Returns: Firm Size and Volatility。Scottish Journal of Political Economy,43,71-84。  new window
7.Hsieh, D.(1991)。Chaos and Nonlinear Dynamics: Applications to Financial Markets。Journal of Finance,47,1145-1189。  new window
8.Koutmos, G.、Lee, U.、Theodossiou, P.(1994)。Time-Koutmos Varying Betas and Volatility Persistence in International Stock Markets。Journal of Economics and Business,46,101-112。  new window
9.Lin, C. J.、Teräsvirta, T.(1994)。Testing the Constancy of Regression Parameters against Continuous Structural Change。Journal of Econometrics,62,211-228。  new window
10.Malik, A. K.(2005)。European Exchange Rate Volatility Dynamics: An Empirical Investigation。Journal of Empirical Finance,12,187-215。  new window
11.Poon, S. H.、Taylor, S. J.(1992)。Stock Returns and Volatility: An Empirical Study of the UK Stock Market。Journal of Banking and Finance,16,37-59。  new window
12.Ryden, T.、Teräsvirta, T.(1998)。Stylized Facts of Daily Return Series and the Hidden Markov Model。Journal of Applied Econometrics,13,217-244。  new window
13.Sarantis, N.(2001)。Nonlinearities, Cyclical Behaviour and Predictability in Stock Markers: International Evidence。International Journal of Forecasting,17,459-482。  new window
14.Taylor, M. P.、Peel, D. A.(1999)。Nonlinear Adjustment, Long-Run Equilibrium and Exchange Rate Fundamentals。Journal of International Money and Finance,19,33-53。  new window
15.Thomas, S.、Wickens, M.(1993)。An International CAPM for Bonds and Equities。Journal of International Money and Finance,12,390-412。  new window
16.Xing, X.、Howe, J. S.(2003)。The Empirical Relationship between Risk and Return: Evidence from the UK Stock Market。International Review of Financial Analysis,12,329-346。  new window
17.Yang, Y. N.(2002)。Structural Changes in US-Japan Exchange Rates。Chung Yuan Journal,30,453-459。  new window
18.De Santis, G.、Imrohoroglu, S.(1997)。Stock Returns and Volatility in Emerging Financial Markets。Journal of International Money and Finance,16(4),561-579。  new window
19.姜淑美、鄭婉秀、邱建良(20030300)。外資交易行為、股市及匯市動態關係之研究。風險管理學報,5(1),45-64。new window  延伸查詢new window
20.Ross, S. A.(1989)。Information and Volatility: the No-Arbitrage Martingale Approach to Timing and Resolation Irrelevancy。Journal of Finance,44,1-17。  new window
21.Poterba, James M.、Summers, Lawrence H.(1986)。The Persistence of Volatility and Stock Market Fluctuations。American Economic Review,76(5),1142-1151。  new window
22.Engle, R. F.、Lilien, D. M.、Robins, R. P.(1987)。Estimating Time-Varying Risk Premia in the Term Structure: The ARCH-M Model。Econometrica,55,391-407。  new window
23.Chou, Ray Yeutien(1988)。Volatility Persistence and Stock Valuations: Some Empirical Evidence Using GARCH。Journal of Applied Econometrics,3(4),279-294。  new window
24.Teräsvirta, Timo(1994)。Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models。Journal of the American Statistical Association,89(425),208-218。  new window
25.Crawford, V. P.、Sobel, J.(1982)。Strategic Information Transmission。Econometrica,50(6),1431-1451。  new window
26.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
27.Flannery, M. J.、Protopapadakis, A. A.(2002)。Macroeconomic Factors Do Influence Aggregate Stock Returns。The Review of Financial Studies,15(3),751-782。  new window
28.Akgiray, Vedat(1989)。Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts。The Journal of Business,62(1),55-80。  new window
29.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
30.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
31.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
32.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
33.Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society,59(2),347-370。  new window
34.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.Boyd, J. H.、Jagannathan, R.、Hu, J.(2001)。The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks。  new window
學位論文
1.鄭瑞彬(1997)。台灣與亞洲股市股票報酬之分析--GARCH模型之應用(碩士論文)。逢甲大學。  延伸查詢new window
圖書
1.Brock, W. A.、Hsieh, D.、LeBaron, B.(1991)。Nonlinear Dynamics, Chaos and Instability。Cambridge, MA:London:MIT Press。  new window
2.David, A.、Veronesi, P.(2004)。Inflation and Earnings Uncertainty and Volatility Forecasts。Graduate School of Business, University of Chicago。  new window
3.Peters, E. E.(1994)。Fractal Market Analysis: Applying Chaos Theory to Investment and Economics。New York:John Wiley & Sons, Inc.。  new window
4.Granger, Clive W. J.、Teräsvirta, Timo(1966)。Modelling Nonlinear Economic Relationships。Oxford:Oxford University Press。  new window
5.Pindyck, Robert S.、Rubinfeld, Daniel L.(1998)。Econometric Models and Economic Forecasts。McGraw-Hill Book Company。  new window
 
 
 
 
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