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題名:三大原油市場之動態關連性探討
書刊名:真理財經學報
作者:林惠娜 引用關係鄭婉秀陳坤宏
作者(外文):Lin, Hui-naCheng, Wan-hsiuChen, Kun-hong
出版日期:2007
卷期:16
頁次:頁71-91
主題關鍵詞:原油外溢效果多變量GARCH衝擊反應函數Crude oilSpillover effectMultivariate GARCHImpulse response function
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:16
期刊論文
1.Cabedo, J. D.、Moya, I.(2003)。Estimating Oil Price "Value at Risk" Using the Historical Simulation Approach。Energy Economics,25,239-253。  new window
2.Hamilton, J. D.(2003)。What is oil shock?。Journal of Econometrics,113,363-398。  new window
3.Mork, Knut Anton、Olsen, Øystein、Mysen, Hans Terje(1994)。Macroeconomic responses to oil price increases and decreases in seven OECD countries。Energy Journal,15(4),19-35。  new window
4.Gisser, Micha、Goodwin, Thomas H.(1986)。Crude Oil and the Macroeconomy: Tests of Some Popular Notions。Journal of Money, Credit and Banking,18(1),95-103。  new window
5.Daniel, Betty C.(1997)。International Interdependence of National Growth Rates: A Structural Trends Analysis。Journal of Monetary Economics,40,73-96。  new window
6.Hamilton, James D.(1983)。Oil and the Macroeconomy since World War II。Journal of Political Economy,91(2),228-248。  new window
7.Hooker, Mark A.(1996)。What Happened to the Oil Price-Macroeconomy Relationship?。Journal of Monetary Economics,38(2),195-213。  new window
8.Jones, Charles M.、Kaul, Gautam(1996)。Oil and the Stock Markets。Journal of Finance,51(2),463-491。  new window
9.Huang, R. D.、Masulis, R. W.、Stoll, H. R.(1996)。Energy Shocks and Financial Markets。Journal of Futures Markets,16(1),1-27。  new window
10.Brown, S. P. A.、Yücel, M.(1999)。Oil Prices and U.S. Aggregate Economic Activity: A Question of Neutrality。Economic & Financial Review,2,16-23。  new window
11.Chen, K. C.、Sears, R. S.、Tzang, D. N.(1987)。Oil Prices and Energy Futures。Journal of Futures Markets,7,501-518。  new window
12.Ciner, C.(2001)。Energy Stocks and Financial Markets: Nonlinear Linkage。Studies in Nonlinear Dynamics and Econometrics,5,203-212。  new window
13.Dotsey, M.、Reid, M.(1992)。Oil Shocks, Monetary Policy, and Economic Activity。Federal Reserve Bank of Richmond Economic Review,78(4),14-27。  new window
14.Giot, P.、Laurent, S.(2002)。Market Risk in Commodity Markets: a VaR Approach。Energy Economics,25,435-457。  new window
15.Sadorsky, Perry(1999)。Oil Price Shocks and Stock Market Activity。Energy Economics,21(5)。  new window
16.Engle, Robert F.、Kroner, Kenneth F.(1995)。Multivariate simultaneous generalized arch。Econometric Theory,11(1),122-150。  new window
17.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
18.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
學位論文
1.李應勳(2005)。原油價格波動與避險策略之研究(碩士論文)。淡江大學。  延伸查詢new window
2.謝秀鑾(2005)。能源期貨幣險策略之研究--以西德州原油與布蘭特原油為例(碩士論文)。淡江大學。  延伸查詢new window
圖書
1.Balke, N. S.、Brown, S. P. A.、Yücel, M.(1999)。Oil price shocks and the US economy: Where does the asymmetry originate?。Federal Reserve Bank of Dallas。  new window
 
 
 
 
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