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題名:無資料窺探偏誤的檢定評估共同基金績效
書刊名:證券市場發展季刊
作者:莊惠菁管中閔 引用關係
作者(外文):Chuang, Hui-chingKuan, Chung-ming
出版日期:2010
卷期:22:3=87
頁次:頁181-206
主題關鍵詞:共同基金真實性檢定SPA檢定資料窺探逐步檢定法Mutual fundReality checkSPA testData snooping
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:1
  • 共同引用共同引用:19
  • 點閱點閱:68
期刊論文
1.王佳真、徐辜元宏(20040600)。風險值的應用與臺灣共同基金績效指標之持續性。臺大管理論叢,14(2),23-47。new window  延伸查詢new window
2.林修葳、王佳真(20030800)。臺灣共同基金績效持續性之研究。管理學報,20(4),655-688。new window  延伸查詢new window
3.Hsu, P. H.、Hsu, Y. C.、Kuan, C. M.(2010)。Testing the Predictive Ability of Technical Analysis Using a new Stepwise Test without Data Snooping Bias。Journal of Empirical Finance,17(3),471-484。  new window
4.Romano, J. P.、Wolf, M.(2005)。Stepwise, Multiple Testing as Formalized Data Snooping。Econometrica,73(4),1237-1282。  new window
5.Efron, B.(1979)。Bootstrap methods: Another look at the jackknife。The Annals of Statistics,7,1-26。  new window
6.Lo, Andrew W.、MacKinlay, A. Craig(1990)。Data-snooping biases in tests of financial asset pricing models。Review of Financial Studies,3(3),431-468。  new window
7.Wermers, R.(1999)。Mutual Fund Herding and Impact on Stock Price。Journal of Finance,54(2),581-622。  new window
8.Hansen, P. R.(2005)。A Test for Superior Predictive Ability。Journal of Business and Economic Statistics,23(4),365-380。  new window
9.Hansen, P. R.、Lunde, A.(2005)。A forecast comparison of volatility models: Does anything beat a GARCH(1,1)?。Journal of Applied Econometrics,20(7),873-889。  new window
10.Hsu, P. H.、Kuan, C. M.(2005)。Reexamining the Profitability of Technical Analysis with Data Snooping Checks。Journal of Financial Econometrics,3(4),606-628。  new window
11.Politis, D. N.、Romano, J. P.(1994)。The Stationary Bootstrap。Journal of the American Statistical Association,89(428),1303-1313。  new window
12.Qi, M.、Wu, Y.(2006)。Technical Trading-rule Profitability, Data Snooping, and Reality Check: Evidence from the Foreign Exchange Market。Journal of Money, Credit and Banking,38(8),2135-2158。  new window
13.White, H.(2000)。A Reality Check for Data Snooping。Econometrica,68(5),1097-1126。  new window
14.李春安、劉維琪(20060400)。基金從眾、基金聲譽價值與基金折價關係之研究。證券市場發展季刊,18(1)=69,107-141。new window  延伸查詢new window
15.Ledoit, O.、Wolf, M.(2008)。Robust performance hypothesis testing with the Sharpe ratio。Journal of Empirical Finance,15,850-859。  new window
16.Newey, Whitney K.、West, Kenneth D.(1994)。Automatic Lag Selection in Covariance Matrix Estimation。Review of Economic Studies,61(4),631-653。  new window
17.Fama, Eugene F.、French, Kenneth R.(1993)。Common risk factors in the returns on stocks and bonds。Journal of Financial Economics,33(1),3-56。  new window
18.Phillips, Peter C. B.、Perron, Pierre(1988)。Testing for a unit root in time series regression。Biometrika,75(2),335-346。  new window
19.呂素蓮、李世英(2008)。三項分配下共同基金經理人之從眾行為--以臺灣股票型基金為例。交大管理學報,28(2),41-72。  延伸查詢new window
20.Andrews, D. W. K.、Monahan, J. C.(1992)。An Improved Heteroscedasticity and Autocorrelation Consistent Covariance Matrix Estimator。Econometrica,60,953-966。  new window
21.Kadlec, R. K.、McConnell, J.、Rau, R.、Singal, V.(2006)。Is Time-series-based Predictability Evident in Real Time?。Journal of Business,79,1263-1292。  new window
22.Lo, Andrew W.(2002)。The Statistics of Sharpe Ratios。Financial Analysts Journal,58,36-52。  new window
23.Patton, A.、Politis, D. N.、White, H.(2009)。Correction to Automatic Block-Length Selection for the Dependent Bootstrap by D. Politis and H. White。Econometric Reviews,28,372-375。  new window
24.Politis, D. N.、White, H.(2004)。Automatic Block-Length Selection for the Dependent Bootstrap。Econometric Reviews,23(1),53-70。  new window
25.Sullivan, R.、Timmermann, A.、White, H.(2001)。Dangers of Data Mining: the Case of Calendar Effects in Stock Returns。Journal of Econometrics,105,249-286。  new window
圖書
1.Lahiri, S. N.(2003)。Resampling Methods for Dependent Data。Springer-Verlag。  new window
 
 
 
 
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