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題名：多空市場之股價指數報酬風險值研究
書刊名：商管科技季刊
作者：張巧宜 引用關係／林鴻儒
作者(外文)：Chang, Chiao-yi／Lin, Hong-ru
出版日期：2010
卷期：11:1
頁次：頁77-107
主題關鍵詞：風險值；GARCH模型；馬可夫轉換模型；技術分析；Value at risk；Markov switching；Bull and bear markets
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(3) 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:2
  • 共同引用共同引用:18
  • 點閱點閱:70
期刊論文
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3.Thomas, S.、Sarma, M.、Shah, A.(2003)。Selection of Value-at-Risk Models。Journal of Forecasting，22(4)，337-358。  new window
4.Najand, M.、Yung, K.(1994)。Conditional Heteroskedasticity and the Weekend Effect in S and P 500 Index Futures。Journal of Business Finance and Accounting，21(4)，603-612。  new window
5.黃聖志、蘇欣玫、杜國賓(20080900)。避險基金指數之風險值探討。商管科技季刊，9(3)，277-299。new window  延伸查詢new window
6.Parisi, F.、Vasquez, A.(2000)。Simple technical trading rules of stock returns: evidence from 1987 to 1998 in Chile。Emerging Market Review，1(2)，152-164。  new window
7.Dueker, Michael J.(1997)。Markov Switching in GARCH Processes and Mean-reverting Stock-market Volatility。Journal of Business & Economic Statistics，15(1)，26-34。  new window
8.Hamilton, J. D.(1988)。Rational expectations econometric analysis of changes in regimes: An investigation of the term structure of interest rates。Journal of Economic Dynamics and Control，12(2/3)，385-423。  new window
9.林建甫、張焯然(19960900)。ARCH族模型估計與檢定的問題。經濟論文叢刊，24(3)，339-355。new window  延伸查詢new window
10.Kim, M. K.、Zumwalt, J. K.(1979)。An analysis of risk in bull and bear Markets。Journal of Financial and Quantitative Analysis，14(5)，1015-1025。  new window
11.Maheu, John M.、McCurdy, Tomas H.(2000)。Identifying bull and bear markets in stock returns。Journal of Business and Economic Statistics，18(1)，100-112。  new window
12.Melino, A.、Turnbull, S. M.(1990)。Pricing Foreign Currency Options with Stochastic Volatility。Journal of Econometrics，45(1/2)，239-265。  new window
13.陳仕偉、林金龍(20000300)。Modelling Business Cycles in Taiwan with Time-Varying Markov-Switching Models。經濟論文，28(1)，17-42。new window  new window
14.陳仕偉、林金龍(20000900)。Identifying Turning Points and Business Cycles in Taiwan: A Multivariate Dynamic Markov-switching Factor Model Approach。經濟論文，28(3)，289-320。new window  new window
15.Fama, Eugene F.、French, Kenneth R.(1989)。Business Conditions and Expected Returns on Stocks and Bonds。Journal of Financial Economics，25(1)，23-49。  new window
16.Beder, Tanya Styblo(1995)。VAR: Seductive but Dangerous。Financial Analysts Journal，51(5)，12-24。  new window
17.Billio, M.、Pelizzon, L.(2000)。Value-at-Risk: A Multivariate Switching Regime Approach。Journal of Empirical Finance，7(5)，531-554。  new window
18.Pritsker, M.(1997)。Evaluating Value at Risk Methodologies: Accuracy versus Computational Time。Journal of Financial Services Research，12(2/3)，201-243。  new window
19.Pérignon, Christophe、Smith, Daniel R.(2010)。The level and quality of Value-at-Risk disclosure by commercial banks。Journal of Banking and Finance，34(2)，362-377。  new window
20.Pritsker, Matthew(2006)。The hidden dangers of historical simulation。Journal of Banking and Finance，30(2)，561-582。  new window
21.Danielsson, J.、De Vries, C. G.(1997)。Tail Index and Quantile Estimation with Very High Frequency Data。Journal of Empirical Finance，4(2/3)，241-257。  new window
22.Guermat, Cherief、Harris, Richerd D. F.(2002)。Robust Conditional Variance Estimation and Value at Risk。The Journal of Risk，4(2)，25-41。  new window
23.Brock, William、Lakonishok, Josef、LeBaron, Blake(1992)。Simple Technical Trading Rules and the Stochastic Properties of Stock Returns。The Journal of Finance，47(5)，1731-1764。  new window
24.Sullivan, R.、Timmermann, A.、White, H.(1999)。Data-snooping, Technical Trading Rule Performance, and the Bootstrap。Journal of Finance，54(5)，1647-1691。  new window
25.Pagan, Adrian R.、Schwert, G. William(1990)。Alternative Models for Conditional Stock Volatility。Journal of Econometrics，45(1/2)，264-290。  new window
26.Hendricks, Darryll(1996)。Evaluation of Value-at-Risk Models Using Historical Data。Federal Reserve Bank of New York Economic Policy Review，2(1)，39-69。  new window
27.Bessembinder, Hendrik、Chan, Kalok(1995)。The Profitability of Technical Trading Rules in the Asian Stock Markets。Pacific-Basin Finance Journal，3(2/3)，257-284。  new window
28.Hamilton, James D.、Susmel, Raul(1994)。Autoregressive Conditional Heteroskedasticity and Changes in Regime。Journal of Econometrics，64(1/2)，307-333。  new window
29.Bollerslev, Tim(1987)。A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return。The Review of Economics and Statistics，69(3)，542-547。  new window
30.Fabozzi, Frank J.、Francis, Jack C.(1977)。Stability tests for alphas and betas over bull and bear market conditions。Journal of Finance，32(4)，1093-1099。  new window
31.Hamilton, James D.(1989)。A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle。Econometrica: Journal of the Econometric Society，57(2)，357-384。  new window
32.Barone-Adesi, G.、Giannopoulos, K.、Vosper, L.(1999)。VaR without Correlations for Portfolios of Derivative Securities。Journal of Futures Markets，19(5)，583-602。  new window
33.Bali, Turan G.、Mo, Hengyong、Tang, Yi(2008)。The role of autoregressive conditional skewness and kurtosis in the estimation of conditional VaR。Journal of Banking and Finance，32(2)，269-282。  new window
34.Christoffersen, Peter F.(1998)。Evaluating Interval Forecasts。International Economic Review，39(4)，841-862。  new window
35.Kupiec, Paul H.(1995)。Techniques for Verifying the Accuracy of Risk Measurement Models。Journal of Derivatives，3(2)，73-84。  new window
36.McNeil, A. J.、Frey, R.(2000)。Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach。Journal of Empirical Finance，7(3/4)=56，271-300。  new window
37.李曉菁、林彥豪與林朝陽(2006)。市場風險值模型之驗證及比較分析－以股票、外匯、債券為例。貨幣觀測與信用評等，58，29-42。  延伸查詢new window
38.洪瑞成、沈育展、邱建良與李命志(2005)。以風險值觀點評論現行信用交易最低擔保維持率水準－跳躍-擴散模型之應用。商管科技季刊，6(3)，467-489。  延伸查詢new window
39.郭祥兆、李憲杰(1995)。一般化自迴歸條件異質性變異數模型參數之選定、估計與檢定－以台灣加權股價指數為例。成功大學學報，30，53-71。  延伸查詢new window
40.曾昭玲、楊舜蓁(2004)。雙貝他資本資產訂價模型運用於台灣股票多頭與空頭市場之適用性研究。東吳經濟商學學報，44，25-54。new window  延伸查詢new window
41.詹益慶(1990)。隨機漫步在台灣股票市場之實證研究－移動平均線投資法則之應用。勤益學報，8，257-289。  延伸查詢new window
42.Bali, T. G.,、Theodossiou, P.(2007)。A conditional-SGT-VaR approach with alternative GARCH models。Annals of Operations Research，151(1)，241-267。  new window
43.Balkowski, J.(2003)。Modelling returns on stock indices for western and central european stock exchange - Markov switching approaches。Southeast European Journal of Economic，2(2)，81-100。  new window
44.Bhar, R.、Hamori, S.(2004)。Empirical characteristics of the permanent and transitory components of stock return: Analysis in a Markov switching heteroskedasticity framework。Economics Letters，82(2)，157-165。  new window
45.Chiarella, C.、He, X. Z.、Hommes, C.(2006)。A dynamic analysis of moving average rules。Journal of Economic Dynamics and Control，30(9/10)，1729-1753。  new window
46.Costello, A., Asem, E.,、Gardner, E.(2008)。Comparison of historically simulated VaR: Evidence from oil prices。Energy Economics，30(5)，2154-2166。  new window
47.Duarte, A. M. Jr.(1997)。Model risk and risk management。Derivatives Quarterly，3，60-72。  new window
48.Duffie, D.,、Pan, J.(1997)。An overview value at risk。Journal of Derivatives，4(3)，7-49。  new window
49.George, H.,、Evangelia, P.(2006)。Stock returns and inflation in Greece: A Markov switching approach。Review of Financial Economics，15(1)，76-94。  new window
50.Hansen, B. E.(1996)。Erratum: The likelihood ratio test under non-standard conditions: Testing the Markov trend model of GNP。Journal of Applied Econometrics，11(2)，195-198。  new window
51.Harvey, A., Ruiz, E.,、Shephard, N.(1994)。Multivariate stochastic variance models。The Review of Economic Studies，61(2)，247-264。  new window
52.Hudson, R.、Dempsey, M.、Keasey, K.(1996)。A note on the weak form efficiency of capital markets: The application of simple technical trading rules to UK stock prices--1935 to 1994。Journal of Banking and Finance，20(6)，1121-1132。  new window
53.Jacquier, E., Polson, N. G.,、Rossi, P. E.(1994)。Bayesian analysis of stochastic volatility models。Journal of Business and Economic Statistics，12(4)，371-389。  new window
54.Kuswanto, H.,、Salamah, M.(2009)。Regime switching long memory model for German stock returns。European Journal of Economics, Finance and Administrative Sciences，15(1)，7-17。  new window
55.Levy, R. A.(1974)。Beta coefficient as predictors of return。Financial Analysts Journal，30(1)，61-69。  new window
56.Marimoutou, V., Raggad, B.,、Trabelsi, A.(2009)。Extreme value theory and value at risk: Application to oil market。Energy Economics，31(4)，519-530。  new window
57.Perez-Quiros, G.,、Timmermann, A.(2001)。Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities。Journal of Econometrics，103(1)，259-306。  new window
58.Samaras, G. D.,、Matsatsinis, N. F.(2003)。A Multicriteria DSS for A global stock evaluation。Operational Research，3(3)，281-306。  new window
59.Susmel, R.(2000)。Switching volatility in international equity markets。International Journal of Finance and Economics，5(1)，265-283。  new window
60.Taamouti, A.(2009)。Analytical value-at-risk and expected shortfall under regime-switching。Finance Research Letter，6(3)，138-151。  new window
61.Turner, C. M., Startz, R.,、Nelson, C. R.(1989)。A Markov model of heteroskedasticity, risk, and learning in the stock market。Journal of Financial Economics，25(1)，3-22。  new window
62.Viet, E. T.,、Cheney, J. M.(1982)。Are mutual funds market timer?。Journal of Portfolio Management，8(2)，35-42。  new window
研究報告
1.Goorbergh, R. V. D.、Vlaar, P.(1999)。Value-at-Risk Analysis of Stock Returns Historical Simulation, Variance Techniques or Tail Index Estimation?。Amsterdmn：Econometric Research and Special Studies Dept. De Nederlandsche Bank。  new window
2.Frino, A., Peat, M.,、Wong, B.(2006)。An examination of the profitability of technical trading rules in Australian, Discipline of Finance。  new window
學位論文
1.薛彬彬(1990)。台灣股票市場風險之測定：多頭和空頭市場之比較結果。  延伸查詢new window
圖書
1.Granville, J.,(1963)。Granville’s new key to stock market profits。Englewook Cliff, NJ：Prentioe Hall。  new window
2.Jorion, P.(1997)。Value at Risk: The New Benchmark for Controlling Market Risk。McGraw-Hill。  new window
3.Gratley, H. M.(1935)。Profits in the stock market。Pomeroy WA。  new window
 
 
 
 
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