:::

詳目顯示

回上一頁
題名:臺灣外匯市場日內交易訊息傳遞與效率性之實證研究
書刊名:臺灣銀行季刊
作者:許建隆 引用關係吳瑞山
出版日期:2008
卷期:59:2
頁次:頁65-78
主題關鍵詞:外匯市場日內交易訊息傳遞效率市場市場微結構
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:2
  • 點閱點閱:3
期刊論文
1.Bloomfield, R.、O'Hara, M.(1999)。Market Transparency: Who Wins and Who Loses?。Review of Financial Studies,12(1),5-35。  new window
2.Madhavan, Ananth(2000)。Market Microstructure: A Survey。Journal of Financial Markets,3(3),205-258。  new window
3.Engle, R. F.、Russell, J. R.(1998)。Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data。Econometrica,66,1127-1162。  new window
4.高櫻芬、彭雅玲(20030600)。外匯交易市場之市場微結構。臺灣金融財務季刊,4(2),103-115。new window  延伸查詢new window
5.滑明曙(19980400)。The Intradaily Price-Volume Patterns in the Taipei Foreign Exchange Market。中國財務學刊,5(4),73-103。new window  new window
6.McGroarty, Frank、McGroarty, F. J.、Gwilym, Owain(2006)。Microstructure effects, bid-ask spreads and volatility in the spot foreign exchange market pre and post-EMU。Global Finance Journal,17(1),23-49。  new window
7.Schvvert, W.(1989)。Stock Volatility and Crash of '87。Review of Financial Studies,3,77-102。  new window
8.蔡垂君、李存修(20060400)。由市場微觀結構論探討臺灣10年期公債期貨日內不對稱的價量關係。財務金融學刊,14(1),125-152。new window  延伸查詢new window
9.Ding, Zhuanxin、Granger, C. W. J.、Engle, R. F.(1993)。A Long Memory Property of Stock Market Return and a New Model。Journal of Empirical Finance,1,83-106。  new window
10.Giot, P.(2000)。Time transformations, intraday data, and volatility models。Journal of Computational Finance,4,31-62。  new window
11.Goodhart, C. A. E.、O'Hara, M. L.(1997)。High frequency data in financial markets: issues and applications。Journal of Empirical Finance,4,73-114。  new window
12.Fama, Eugene F.(1991)。Efficient Capital Markets。Journal of Finance,46(5),1575-1617。  new window
13.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
14.Andersen, Torben G.、Bollerslev, Tim(1996)。Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies。The Journal of Finance,53(1),219-265。  new window
15.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
16.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
17.Fama, Eugene F.(1970)。Efficient Capital Markets: A Review of Theory and Empirical Work。The Journal of Finance,25(2),383-417。  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
圖書
1.Lancaster, T.(1990)。The Econometric Analysis of Transition Data。Cambridge。  new window
2.Jorion, P.(2000)。Value-at-Risk。NY:McGraw-Hill。  new window
3.Malkiel, B. G.(1996)。A Random Walk Down Wall Street。New York:W.W. Norton & Company。  new window
4.O'Hara, Maureen(1995)。Market microstructure Theory。Basil Blackwell。  new window
5.Taylor, S. J.(1986)。Modelling Financial Time Series。John Wiley。  new window
6.Bauwens, L.、Giot, P.(2001)。Econometric Modelling of Stock Market Intraday Activity。Boston, Massachusetts:Kluwer Academic Publishers。  new window
7.Guillame, D. M.、Pictet, O. V.、Dacorogna, M. M.(1995)。The Swiss consultancy Olsen & Associates。  new window
8.Lee, R.(1998)。What is an exchange?。Oxford University Press。  new window
9.Box, George E. P.、Jenkins, Gwilym M.(1976)。Time Series Analysis: Forecasting and Control。San Francisco, CA:Holden-Day。  new window
10.Enders, Walter(2004)。Applied Econometric Time Series。New York:John Wiley & Sons。  new window
11.Campbell, John Y.、Lo, Andrew W.-C.、MacKinlay, A. Craig(1997)。The Econometrics of Financial Markets。Princeton University Press。  new window
其他
1.Giot, P.(2000)。Intraday Value-at-Risk,Maastricht University。  new window
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top