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題名:臺指現貨、臺指期貨與摩臺指期貨價格關聯性之研究--門檻模型之應用
書刊名:真理財經學報
作者:陳育仁張瑞真
作者(外文):Chen, Yu-jenChang, Jui-chen
出版日期:2007
卷期:16
頁次:頁23-46
主題關鍵詞:摩臺指期貨價格發現門檻共整合模型多元門檻模型MSCI Taiwan stock index futuresPrice discoveryThreshold cointegration modelMultiple threshold model
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:42
  • 點閱點閱:32
期刊論文
1.Caner, Mehmet、Hansen, Bruce E.(2001)。Threshold autoregression with a unit root。Econometrica,69(6),1555-1596。  new window
2.Hsieh, David A.(1991)。Chaos and nonlinear dynamics: application to financial markets。Journal of Finance,46(5),1839-1877。  new window
3.戴錦周、陳建宏(20010900)。SIMEX摩根臺指期貨市場效率性之研究。臺灣銀行季刊,52(3),334-344。new window  延伸查詢new window
4.Brooks, C.、Melvin, J. H.(2001)。Bicorrelations and Cross-Bicorrelations as Non-linearity Tests and Tools for Exchange Rate Forecasting。Journal of Forecasting,20(3),81-96。  new window
5.Gonzalo, J.、Lee, T. H.(2000)。On the Robustness of Cointegration Tests when Series are Fractionally Integrated。Journal of Applied Statistics,27(7),821-827。  new window
6.Hegde, Shantaram P.、McDermott, John B.(2004)。The market liquidity of Diamonds, Q's, and their underlying stocks。Journal of Banking and Finance,28(5),1043-1067。  new window
7.Roll, R.(1988)。The International Crash of October 1987。Financial Analysis Journal,44(5),19-35。  new window
8.Stoll, H. R.、Whaley, R. E.(1988)。Volatility and Futures: Message Versus Messenger。Journal of Portfolio Management,1,20-22。  new window
9.Werner, I. M.、Kleidon, A. W.(1996)。U.K. and U.S. Trading of British Cross-Listed Stocks: An Intraday Analysis of Market Integration。Review of Financial Studies,9(2),619-664。  new window
10.Tse, Y.(1998)。International Linkages in Euromark Futures Markets: Information Transmission and Market Integration。Journal of Futures Markets,18,128-149。  new window
11.Hansen, Bruce E.、Seo, Byeongseon(2002)。Testing for Two-Regime Threshold Cointegration in Vector Error-Correction Models。Journal of Econometrics,110(2),293-318。  new window
12.Chan, K. S.(1993)。Consistency and Limiting Distribution of the Least Squares Estimator of a Threshold Autoregressive Model。The Annals of Statistics,21(1),520-533。  new window
13.Fleming, Jeff、Ostdiek, Barbara、Whaley, Robert E.(1996)。Trading Costs and the Relative Rates of Price Discovery in Stock, Futures, and Option Markets。Journal of Futures Markets,16(4),353-387。  new window
14.Booth, G. G.、So, R. W.、Tse, Y.(1999)。Price Discovery in the German Equity Index Derivatives Markets。The Journal of Futures Markets,19(6),619-643。  new window
15.Chu, Q. C.、Hsieh, Wen-liang G.、Tse, Y.(1999)。Price discovery on the S & P 500 index markets: An analysis of spot index, index futures, and SPDRs。International Review of Financial Analysis,8,21-34。  new window
16.Abhyankar, A. H.(1995)。Return and Volatility Dynamics in the FT-SE 100 Stock Index Stock Index Futures Market。Journal of Futures Markets,15(4),457-488。  new window
17.Tsay, R. S.(1998)。Testing and Modeling Threshold Autoregressive Processes。Journal of American Statistical Association,84(405),231-240。  new window
18.Ghosh, Asim(1995)。Cointegration and error correction models: Intertemporal causality between index and futures prices。Journal of Futures Markets,13(2),193-198。  new window
19.黃玉娟、徐守德(19970000)。臺股指數現貨與期貨市場價格動態關聯性之研究。證券市場發展,9(3)=35,1-28。new window  延伸查詢new window
20.Tse, Y. K.(1995)。Lead-lag relationship between spot index and futures price of the Nikkei stock average。Journal of Forecasting,14(7),553-564。  new window
21.Kawaller, I. G.、Koch, P. D.、Koch, T. W.(1987)。The Temporal Price Relationship between S&P 500 Futures and S&P Index。Journal of Finance,42(5),1309-1329。  new window
22.Chan, Kalok S.(1992)。A Further Analysis of the Lead-Lag Relationship Between the Cash Market and Stock Index Futures Market。Review of Financial Studies,5(1),123-152。  new window
23.Mackinlay, A. C.、Ramaswamy, K.(1988)。Index-futures arbitrage and the behavior of stock index futures prices: some preliminary evidence。The Journal of Futures Markets,1(2),137-158。  new window
24.Subrahmanyam, A.(1991)。A Theory of Trading in Stock Index Futures。Review of Financial Studies,4(1),17-51。  new window
25.Stoll, Hans R.、Whaley, Robert E.(1990)。The Dynamics of Stock Index and Stock Index Futures Returns。Journal of Financial and Quantitative Analysis,25(4),441-468。  new window
26.Wahab, Mahmoud、Lashgari, Malek(1993)。Price Dynamics and Error Correction in Stock Index and Stock Index Futures Markets: A Cointegration Approach。Journal of Futures Markets,13(7),711-742。  new window
27.Balke, N. S.、Fomby, T. B.(1997)。Threshold Cointegration。International Economic Review,38(3),627-645。  new window
28.Enders, Walter、Siklos, Pierre L.(2001)。Cointegration and Threshold Adjustment。Journal of Business & Economic Statistics,19(2),166-176。  new window
29.Enders, W.、Granger, C. W. J.(1998)。Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates。Journal of Business and Economic Statistics,16(3),304-311。  new window
30.Eun, Cheol S.、Shim, Sangdal(1989)。International Transmission of Stock Market Movements。Journal of Financial and Quantitative Analysis,24(2),241-256。  new window
31.Johansen, Søren、Juselius, Katarina(1990)。Maximum Likelihood Estimation and Inference on Cointegration: with Applications to the Demand for Money。Oxford Bulletin of Economics and Statistics,52(2),169-210。  new window
32.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
33.Fama, Eugene F.(1970)。Efficient Capital Markets: A Review of Theory and Empirical Work。The Journal of Finance,25(2),383-417。  new window
研究報告
1.Dwyer, G. P.、Locke, P.、Yu, W.(1995)。Index Arbitrage and Nonlinear Dynamics between the S&P 500 Futures and Cash。Federal Reserve Bank of Atlanta。  new window
學位論文
1.施雅菁(2002)。小型台指期貨價格發現之研究(碩士論文)。淡江大學。  延伸查詢new window
2.劉廷麟(2001)。台股指數期貨與摩根台股指數期貨價格發現能力之探討(碩士論文)。淡江大學,台北縣。  延伸查詢new window
圖書
1.Stoll, Hans R.、Whaley, Robert E.(1986)。Expiration day effects of index options and futures。New York University。  new window
2.Enders, Walter(1995)。Applied Econometric Time Series。John Wiley & Sons, Inc.。  new window
單篇論文
1.Marshall, D. A.(1993)。Asset Return Volatility with Extremely Small Costs of Consumption Adjustment,Kellogg Gradual School of Management, Northwestern University。  new window
圖書論文
1.Silber, W. L.(1985)。The Economic Role of Financial Futures。Futures Markets: Their Economic Role。Washington, D.C.。  new window
 
 
 
 
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