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題名:東京外匯市場日內報酬波動不對稱行為之驗證
書刊名:亞太經濟管理評論
作者:柏婉貞
出版日期:2008
卷期:11:2
頁次:頁87-105
主題關鍵詞:波動外匯市場不對稱性VolatilityForeign exchange marketAsymmetry
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:0
  • 點閱點閱:24
期刊論文
1.Balaban, E.(2004)。Comparative Forecasting Performance of Symmetric and Asymmetric Conditional Volatility Models of an Exchange Rate。Economics Letters,83,99-105。  new window
2.Lyons, Richard K.(1997)。A simultaneous trade model of the foreign exchange hot potato。Journal of International Economics,42(3),275-298。  new window
3.Brooks, C.(1996)。Testing for Non-linearity in Daily Pound Exchange Rate。Applied Financial Economics,6,307-317。  new window
4.Chang, Y.、Taylor, S.(2003)。Information Arrivals and Intraday Exchange Rate Volatility。Journal of International Financial Markets, Institutions and Money,13,85-112。  new window
5.Danı́elsson, J.、Payne, R.(2002)。Real Trading Patterns and Prices in Spot Foreign Exchange Markets。Journal of International Money and Finance,21,203-222。  new window
6.Darrat, A.、Rahman, F. S.、Zhong, M.(2003)。Intraday Trading Volume and Return Volatility of the DJIA Stock: A Note。Journal of Banking and Finance,27,2035-2043。  new window
7.Gallant, A.、Hsieh, D.、Tauchen, G.(1997)。Estimation of Stochastic Volatility Models with Diagnostics。Journal of Econometrics,81,159-192。  new window
8.Hua, M. S.、Gau, Y. F.(2005)。Determinants of Periodic Volatility of Intraday Exchange Rates in the Taipei FX Market。Pacific-Basin Finance Journal,14,193-208。  new window
9.Hwang, S. Y.、Woo, M. J.(2001)。Threshold ARCH (1) Processes: Asymptotic Inference。Statistics and Probability Letters,53,11-20。  new window
10.Kalev. P.、Liu, W.、Pham, P.(2004)。Public Information Arrival and Volatility of Intraday Stock Returns。Journal of Banking and Finance,28,1441-1467。  new window
11.Lamoureux, C.、Lastrapes, W.(1990)。Persistent in Variance, Structural Change and the GARCH Model。Journal of Business and Economic Statistics,8,225-234。  new window
12.Lin, J.、Yang, J.(2003)。Examining Intraday Returns with Buy/sell Information。Applied Financial Economics,13,447-461。  new window
13.Menyah, K.、Paudyal, K.(2000)。The Components of Bid-ask Spreads on the London Stock Exchange。Journal of Banking and Finance,24,1767-1785。  new window
14.Nikiforos, T. L.(2005)。Feedback Trading and Autocorrelation Interactions in the Foreign Exchange Market: Further Evidence。Economic Modeling,22,811-827。  new window
15.Tse, Y.、Tsui, A. K.(1997)。Conditional Volatility in Foreign Exchange Rates: Evidence form the Malaysian Ringgit and Singapore Dollar。Pacific-Basin Finance journal,5,345-356。  new window
16.Wang, K.、Chris, F.、Barrett, C. B.(2002)。An Assessment of Empirical Model Performance When Financial Market Transactions Are Observed at Different Date Frequencies: An Application to East Asian Exchange Rates。Review of Quantitative Finance and Accounting,19,111-129。  new window
17.Zakoian, J. M.(1994)。Threshold Hheteroskedastic Models。Journal of Economic Dynamics and Control,18,931-999。  new window
18.Covrig, Vincentiu、Melvin, Michael(2002)。Asymmetric Information and Price Discovery in the FX Market: Does Tokyo Know More About the Yen?。Journal of Empirical Finance,9,271-285。  new window
19.Hartmann, P.(1998)。Do Reuters Spreads Reflect Currencies' Difference in Global Trading Activity?。Journal of International Money and Finance,17,757-784。  new window
20.Ito, Takatoshi、Lyons, Richard K.、Melvin, Michael T.(1998)。Is There Private Information in the FX Market? The Tokyo Experiment。The Journal of Finance,53(3),1111-1130。  new window
21.Hamilton, James D.、Susmel, Raul(1994)。Autoregressive Conditional Heteroskedasticity and Changes in Regime。Journal of Econometrics,64,307-333。  new window
22.Lamoureux, C. G.、Lastrapes, W. D.(1990)。Heteroscedasticity in Stock Return Data: Volume versus GARCH Effects。Journal of Finance,45(1),221-229。  new window
23.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),613-621。  new window
24.Clark, Peter K.(1973)。A subordinated stochastic process model with finite variance for speculative prices。Econometrica,41(1),135-155。  new window
25.Hsieh, David A.(1993)。Implications of Nonlinear Dynamics for Financial Risk Management。Journal of Financial and Quantitative Analysis,28(1),41-64。  new window
26.Foster, Andrew J.(1995)。Volume-volatility Relationships for Crude Oil Futures Markets。Journal of Futures markets,15,929-951。  new window
27.Wang, Kai-Li、Fawson, Christopher、Barrett, Christopher B.、McDonald, James B.(2001)。A Flexible Parametric GARCH Model with an Application to Exchange Rates。Journal of Applied Econometrics,16(4),521-536。  new window
28.Copeland, T. E.(1976)。A model of asset trading under the assumption of sequential information arrival。Journal of Finance,31,1149-1168。  new window
29.Engle, Robert F.、Ng, Victor K.(1993)。Measuring and testing the impact of news on volatility。The Journal of Finance,48(5),1749-1778。  new window
30.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
31.Andersen, Torben G.、Bollerslev, Tim(1997)。Intraday Periodicity and Volatility Persistence in Financial Markets。Journal of Empirical Finance,4(2/3),115-158。  new window
32.Baillie, Richard T.、Bollerslev, Tim(1991)。Intra-Day and Inter-Market Volatility in Foreign Exchange Rates。The Review of Economic Studies,58(3),565-585。  new window
33.Diebold, Francis X.、Mariano, Roberto S.(1995)。Comparing Predictive Accuracy。Journal of Business and Economic Statistics,13(3),253-263。  new window
34.Campbell, John Y.、Hentschel, Ludger(1992)。No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns。Journal of Financial Economics,31(3),281-318。  new window
35.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
36.Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society,59(2),347-370。  new window
研究報告
1.Chortareas, G.、Kapetanios, G.(2003)。The Yen Real Exchange Rate May be Stationary after All: Evidence from Nonlinear Unit Roots。University of London。  new window
圖書
1.Lyons, Richard K.(2001)。The Microstructure Approach to Exchange Rates。Cambridge, Massachusetts:MIT Press。  new window
2.Tsay, Ruey S.(2002)。Analysis of Financial Time Series。New York:John Wiley & Sons。  new window
 
 
 
 
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