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題名:限制最小平方法波動性預測能力之評價
書刊名:真理財經學報
作者:蘇榮斌劉洪鈞林東虨
作者(外文):Su, Jung-binLiu, Hung-chunLin, Tung-ping
出版日期:2007
卷期:17
頁次:頁65-90
主題關鍵詞:RLS模型波動性GARCHRMSFERLS modelVolatility
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:15
  • 點閱點閱:13
期刊論文
1.Poon, S.-H.、Granger, C. W. J.(2003)。Forecasting volatility in financial markets: A review。Journal of Economic Literature,41(2),478-539。  new window
2.Ederington, L. H.、Guan, W.(2005)。Forecasting Volatility。The Journal of Future Markets,20,465-490。  new window
3.Harvey, A.、Ruiz, E.、Sentana, E.(1992)。Unobserved Component Time Series Models with ARCH Disturbances。Journal of Econometrics,52(1/2),129-157。  new window
4.Lopze, J.(2001)。Evaluating the Predictive Accuracy of Volatility Models。Journal of Forecasting,20,87-109。  new window
5.Pagan, A. R.、Schwert, G. W.(1990)。Alternative Models of Conditional Stock Volatilities。Journal of Econometrics,45,267-290。  new window
6.李命志、洪瑞成、劉洪鈞(20070500)。厚尾GARCH模型之波動性預測能力比較。輔仁管理評論,14(2),47-71。new window  延伸查詢new window
7.蔡麗茹、葉銀華(20000300)。不對稱GARCH族模型預測能力之比較研究。輔仁管理評論,7(1),183-196。new window  延伸查詢new window
8.West, K. D.、Cho, D.(1995)。The Predictive Ability of Several Models of Exchange Rate Volatility。Journal of Econometrics,69(2),367-391。  new window
9.Engle, R. F.(1990)。Discussion: Stock Market Volatility and The Crash of 87。Review of Financial Studies,3,109-106。  new window
10.Heynen, R. C.、Kat, H. M.(1994)。Volatility Prediction: A Comparison of the Stochastic Volatility, GARCH (1,1) and EGARCH (1,1) Models。Journal of Derivatives,2(2),50-65。  new window
11.Figlewski, S.(1997)。Forecasting Volatility。Financial Markets, Institutions, and Instruments,6(1),1-88。  new window
12.Engle, R. F.(1982)。Autoregressive Conditional Heteroske- dasticity with Estimates of the Variance of U.K. Inflation。Econometrica,50(4),987-1008。  new window
13.林楚雄、劉維琪、吳欽杉(19990900)。不對稱GARCH模型的研究。管理學報,16(3),479-515。new window  延伸查詢new window
14.Fama, E. F.(1965)。The behavior of stock market prices。Journal of Business,38(1),34-105。  new window
15.Akgiray, Vedat(1989)。Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts。The Journal of Business,62(1),55-80。  new window
16.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
17.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
18.Ding, Zhuanxin、Granger, Clive W. J.、Engle, Robert F.(1993)。A long memory property of stock market returns and a new model。Journal of Empirical Finance,1(1),83-106。  new window
19.Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society,59(2),347-370。  new window
20.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
21.Mandelbrot, Benoit B.(1963)。The Variation of Certain Speculative Prices。The Journal of Business,36(4),394-419。  new window
學位論文
1.吳佳貞(1998)。波動度預測模型之探討(碩士論文)。國立政治大學。  延伸查詢new window
圖書
1.RiskMetrics Group(1996)。RiskMetrics--Technical Document。Morgan J. P.。  new window
2.Box, G. E. P.、Jenkins, G. M.、Reinsel, G. C.(1976)。Time Series Analysis: Forecasting and Control。San Francisco:Holden-Day。  new window
 
 
 
 
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