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題名：成交量、未平倉量及波動率對期貨報酬率之關聯分析--縱橫平滑移轉迴歸模型之應用
書刊名：臺灣期貨與衍生性商品學刊
作者：李沃牆 引用關係
出版日期：2010
卷期：10
頁次：頁1-31
主題關鍵詞：未平倉量；波動率；縱橫平滑移轉迴歸模型；縱橫單根檢定；動態相關
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(2) 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:9
  • 點閱點閱:42
期刊論文
1.Kalotychou, E.、Staikouras, S. K.(2006)。Volatility and Trading Activity in Short Sterling Futures。Applied Economics，38，997-1005。  new window
2.李見發、林榮裕、陳秀綾(20051000)。臺灣股價指數期貨及摩根臺指期貨到期效應之因素研究。財金論文叢刊，3，51-76。new window  延伸查詢new window
3.Watanabe, T.(2001)。Price Volatility, Trading Volume, and Market Depth: Evidence from the Japanese Stock Index Futures Markets。Applied Financial Economics，11，651-658。  new window
4.Grammatikos, T.、Saunders, A.(1986)。Futures Price Variability: A Test of Maturity and Volume Effects。The Journal of Business，59(2)，319-330。  new window
5.Davies, R. B.(1987)。Hypothesis Testing When a Nuisance Parameter is Present Only under the Alternatives。Biometrika，74(1)，33-43。  new window
6.Hansen, Bruce E.(1999)。Threshold effects in non-dynamic panels: Estimation, testing, and inference。Journal of Econometrics，93(2)，345-368。  new window
7.Cornell, B.(1981)。The Relationship between Volume and Price Variability in Futures Markcts。journal of Futures Markets，1，303-316。  new window
8.Najand, M.、Yung, K.(1991)。A GARCH Examination of the Relationship between Volume and Price Variability in Futures Markets。Journal of Futures Markets，11(5)，465-478。  new window
9.王毓敏、黃瑞靜(200106)。價量關係--台股指數期貨市場之研究。台灣金融財務季利，2(2)，97-113。new window  延伸查詢new window
10.Bessembinder, Hendrik、Seguin, Paul J.(1993)。Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets。Journal of Financial and Quantitative Analysis，28(1)，21-39。  new window
11.Kocagil, A. E.、Shachmurove, Y.(1998)。Return-Volume Dynamics in Futures Markets。Journal of Futures Markets，18(4)，399-426。  new window
12.Garcia, P.、Leuthold, R. M.、Zapata, H.(1986)。Lead-lag Relationships between Trading Volume and Price Variability: New Evidence。The Journal of Futures Markets，6(1)，1-10。  new window
13.McCarthy, J.、Najand, M.(1993)。State Space Modeling of Price and Volume Dependence: Evidence from Currency Futures。Journal of Futures Markets，13，335-344。  new window
14.Luukkonen, R.、Saikkonen, P.、Teräsvirta, T.(1988)。Testing Linearity against Smooth Transition Autoregressive Model。Biometrika，75(3)，491-499。  new window
15.Foster, Andrew J.(1995)。Volume-volatility Relationships for Crude Oil Futures Markets。Journal of Futures markets，15，929-951。  new window
16.Tauchen, G. E.、Pitts, M.(1983)。The price variability-volume relationship on speculative markets。Econometrica，51(2)，485-506。  new window
17.Bessembinder, Hendrik、Seguin, Paul J.(1992)。Futures-trading Activity and Stock Price Volatility。The Journal of Finance，47(5)，2015-2034。  new window
18.Jansen, Eilev S.、Teräsvirta, Timo(1996)。Testing Parameter Constancy and Super Exogeneity in Econometric Equations。Oxford Bulletin of Economics and Statistics，58(4)，735-763。  new window
19.Teräsvirta, Timo(1994)。Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models。Journal of the American Statistical Association，89(425)，208-218。  new window
20.Chang, E.、Chou, R. Y.、Nelling, E. F.(2000)。Market Volatility and the Demand for Hedging in Stock Index Futures。The Journal of Futures Markets，20(2)，105-125。  new window
21.Ragunathan, V.、Peker, A.(1997)。Price variability, trading volume and market depth: evidence from the Australian futures market。Applied Financial Economics，7(5)，447-454。  new window
22.Johansen, S.(1991)。Estimation and Hypothesis Testing of Cointegrating Vectors in Gaussian Vector Autoregressive Model。Econometrica，59(6)，1551-1580。  new window
23.Davies, Robert B.(1977)。Hypothesis Testing When a Nuisance Parameter Is Present Only Under the Alternative。Biometrika，64(2)，247-254。  new window
24.Hansen, B. E.(1996)。Inference when a nuisance parameter is not identified under the null hypothesis。Econometrica: Journal of the econometric society，64(2)，413-430。  new window
25.Levin, Andrew、Lin, Chien-Fu、Chu, Chia-Shang James(2002)。Unit Root Tests in Panel Data: Asymptotic and Finite-Sample Properties。Journal of Econometrics，108(1)，1-24。  new window
26.Johansen, Søren(1988)。Statistical Analysis of Cointegration Vectors。Journal of Economic Dynamics and Control，12(2/3)，231-254。  new window
27.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica，55(2)，251-276。  new window
28.Im, Kyung So、Pesaran, M. Hashem、Shin, Yongcheol(2003)。Testing for Unit Roots in Heterogeneous Panels。Journal of Econometrics，115(1)，53-74。  new window
29.Maddala, Gangadharrao S.、Wu, Shaowen(1999)。A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test。Oxford Bulletin of Economics and Statistics，61(S1)，631-652。  new window
30.郭玟秀、康信鴻、許溪南(2005)。影響台股股價指數期貨交易量之決定因素。朝陽商管評論，2(1)，41-62。new window  延伸查詢new window
31.Croux, C., Forni、L. Reichlin(2001)。A Measurement of Comovment for Economics Variables。Review of Economics and Statistics，83，232-316。  new window
32.Jacobs, M. JR.、J. Onochie(1998)。A Bivariate Generalized Autoregressive Conditional Heteroscedasticity-in-Mean Study of the Relationship between Return Variability and Trading Volume in International Futures Markets。Journal of Futures Markets，18，379-397。  new window
33.Ferris, P. S.、Y. H. Park、K. Park(2002)。Volatility, Open Interest, Volume, and Arbitrage: Evidence from the S&P 500 Futures Market。Applied Economics Letters，9，367-372。  new window
34.Fouquaua J.、C. Hurlin、I. Rabaud(2008)。The Feldstein—Horioka Puzzle: A Panel Smooth Transition Regression Approach。Economic Modeling，25，284-299。  new window
35.Fouquaua, J.、G. Destaisb、C. Hurlina(2008)。Energy Demand Models: a Threshold Panel Specification of the Kuznets Curve。Applied Economics Letters，1-4。  new window
36.Serletis, A.、A. Shahmoradi(2006)。Return and Volatility in the NYMEX Henry Hub Natural Gas Futures Market。OPEC Review，30(3)，171-186。  new window
37.Smit, E.、M. W. Louw(1996)。The Relationship between Volatility, Volume and Open Interest: Some Evidence from the South African Futures Market。South African Journal for Business Management，27(4)，113-121。  new window
38.Liew, K. Y.、R. D, Brooks(1998)。Returns and Volatility in the Kuala Lumpur Crude Palm Oil Futures Markets。Journal of Futures Markets，18(18)，985-999。  new window
39.Lundberghs S.、T. Terävirta、D. V. Dijk(2003)。Time-Varying Smooth Transition Autoregressive Models。Journal of Business and Economic Statistics，21，104-121。  new window
40.Pan, M. S.、Y. A. Liu、H. J. Roth(2003)。Volatility and Trading Demands in Stock Index Futures。Journal of Futures Markets，23(4)，399-414。  new window
研究報告
1.González, A.、Teräsvirta, T.、van Dijk, D.(2004)。Panel Smooth Transition Regression Model and an Application to Investment under Credit Constraints。Stockholm School of Economics。  new window
2.Gonzalezm, A.、Terasvirta, T.、van Dijk, D.(2005)。Panel smooth transition regression models。Sidney Quantitative Finance Research Centre, University of Technology。  new window
學位論文
1.林彥均(2004)。台股指數期貨未平倉量、市場深度與成交量互動之研究。淡江大學。  延伸查詢new window
圖書
1.Granger, C. W. J.、Terävirta, T.(1993)。Modeling Nonlinear Economic Relationships。Oxford University Press。  new window
2.Shaleen, K. H.(1991)。Volume and Open Interest。Chicago。  new window
3.Kroll, S.、M. J. Paulenoff(1993)。The Business One Irwin Guide to the Futures Markets Business One Press。Homewood, Illinois。  new window
4.Teräsvirta, T.(1998)。Modeling Economic Relationships with Smooth Transition Regressions。Handbook of applied economic statistics。  new window
 
 
 
 
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