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題名:臺灣上市公司隨時間變動系統風險之結構性轉變研究
書刊名:臺灣銀行季刊
作者:謝明霖雷立芬
出版日期:2010
卷期:61:4
頁次:頁244-256
主題關鍵詞:系統風險結構性轉變股市報酬率八大類股
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(1) 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:2
期刊論文
1.Fletcher, J.(1997)。An examination of the cross-sectional relationship of beta and return: UK evidence。Journal of Economics and Business,49,211-221。  new window
2.Chow, Gregory C.(1960)。Test of Equality between Sets of Coefficients in Two Linear Regressions。Econometrica,28(3),591-605。  new window
3.Jagannathan, R.、Wang, Z.(1996)。The conditional CAPM and the cross‐section of expected returns。Journal of Finance,51(1),3-53。  new window
4.Fletcher, J.(2000)。On the Conditional Relationship between Beta and Return in International Stock Returns。International Review of Financial Analysis,9,235-245。  new window
5.Pettengill, Glenn N.、Sundaram, Sridhar、Mathur, Ike(1995)。The conditional relation between beta and returns。Journal of Financial and Quantitative Analysis,30(1),101-116。  new window
6.Engle, Robert F.、Kroner, Kenneth F.(1995)。Multivariate simultaneous generalized arch。Econometric Theory,11(1),122-150。  new window
7.邱建良、吳佩珊、姜淑美、林佩蓉(20040600)。與時變動系統性風險之研究:臺灣股票多頭與空頭市場之實證。華岡經濟論叢,3(2),45-68。  延伸查詢new window
8.Sharpe, W. F.(1964)。Capital Asset Price: a Theory of Market Equilibrium under Conditions of Risk。Journal of Finance,19(3),425-442。  new window
9.Bollerslev, Tim、Engle, Robert F.、Wooldridge, Jeffrey M.(1988)。A Capital Asset Pricing Model with Time-Varying Covariances。Journal of Political Economy,96(1),116-131。  new window
10.Bollerslev, Tim(1990)。Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model。The Review of Economics and Statistics,72(3),498-505。  new window
11.Akaike, Hirotsugu(1974)。A new look at the statistical model identification。IEEE Transactions on Automatic Control,19(6),716-723。  new window
12.Dickey, David A.、Fuller, Wayne A.(1979)。Distribution of the Estimators for Autoregressive Time Series With a Unit Root。Journal of the American Statistical Association,74(366),427-431。  new window
13.Lintner, John(1965)。The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets。Review of Economics and Statistics,47(1),13-37。  new window
 
 
 
 
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