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題名:股價、匯率及外資買賣超之非線性關係--多變量門檻模型之應用
書刊名:財務金融學刊
作者:林靜怡劉曦敏 引用關係
作者(外文):Lin, Jhing-yiLiu, Shi-miin
出版日期:2007
卷期:15:4
頁次:頁103-132
主題關鍵詞:多變量門檻模型向量自我迴歸模型Granger的因果關係檢定單根檢定非線性Multivariate threshold modelsVector autoregressive modelsGranger causality testsUnit root testsNonlinearity
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(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:18
  • 點閱點閱:165
期刊論文
1.Chan, Louis K. C.、Lakonishok, Josef(1995)。The Behavior of Stock Prices around Institutional Trades。The Journal of Finance,50(4),1147-1174。  new window
2.姜淑美、鄭婉秀、邱建良(20030300)。外資交易行為、股市及匯市動態關係之研究。風險管理學報,5(1),45-64。new window  延伸查詢new window
3.Tsay, R. S.(1998)。Testing and Modeling Multivariate Threshold Models。Journal of the American Statistical Association,93(443),1188-1202。  new window
4.Chan, L. K. C.、Lakonishok, J.(1993)。Institutional Trades and Intraday Stock Price Behavior。Journal of Financial Economics,33(2),173-199。  new window
5.劉祥熹、李崇主(20001000)。臺灣地區外資、匯率與股價關聯性之研究--VAR與VECM之應用。證券市場發展,12(3)=47,1-41。new window  延伸查詢new window
6.Aggarwal, R.、Chen, S. N.(1990)。The Adjustment of Stock Returns to Block Trading Information。Quarterly Journal of Business and Economics,29,46-56。  new window
7.Choe, Hyuk、Kho, Bong-Chan、Stulz, René M.(1999)。Do foreign investors destabilize stock markets? The Korean experience in 1997。Journal of Financial Economics,54(2),227-264。  new window
8.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
9.Tsay, Ruey S.(1989)。Testing and Modeling Threshold Autoregressive Processes。Journal of the American Statistical Association,84(405),231-240。  new window
10.de Long, J. Bradford、Shleifer, Andrei、Summers, Lawrence H.、Waldmann, Robert J.(1990)。Noise trader risk in financial markets。Journal of Political Economy,98(4),703-738。  new window
11.Campbell, John Y.、Grossman, Sanford J.、Wang, Jiang(1993)。Trading volume and serial correlation in stock returns。The Quarterly Journal of Economics,108(4),905-939。  new window
12.Dickey, David A.、Fuller, Wayne A.(1981)。Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root。Econometrica: journal of the Econometric Society,49(4),1057-1072。  new window
13.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
14.Lakonishok, Josef、Shleifer, Andrei、Vishny, Robert W.(1992)。The Impact of Institutional Trading on Stock Prices。Journal of Financial Economics,32(1),23-43。  new window
15.Sosvilla-Rivero, Simon、Jenkinson, Tim、Dolado, Juan J.(1990)。Cointegration and Unit Roots。Journal of Economic Surveys,4(3),249-273。  new window
16.Hamao, Y.、Mei, J.(1995)。Living with the 'Enemy': An Analysis of Foreign Investment in the Japanese Equity Market。Journal of International Money and Finance,20,715-735。  new window
17.Chan, K. S.、Tong, H.(1990)。On Likelihood Ratio Tests for Threshold Autoregression。Journal of the Royal Statistical Society,52(3),469-476。  new window
18.Tong, H.、Lim, K. S.(1980)。Threshold Autoregressions, Limit Cycles, and Cyclical Data。Journal of the Royal Statistical Society,42,245-292。  new window
學位論文
1.陳威全(1999)。東南亞金融風暴與外資投資行為研究(碩士論文)。銘傳大學。  延伸查詢new window
2.陳慧如(1996)。外資大額交易與股價關聯之研究(碩士論文)。淡江大學。  延伸查詢new window
3.曾友弦(1995)。外資買賣前後股價行為之研究(碩士論文)。國立中央大學。  延伸查詢new window
4.楊啟宏(1998)。外資買賣超資訊對對個股股價之影響--臺灣股票市場之實證研究(碩士論文)。國立臺灣大學。  延伸查詢new window
5.黃于珍(1999)。外資交易行為對台灣股市之影響(碩士論文)。輔仁大學。  延伸查詢new window
6.徐魁君(2002)。外資、匯率、利率及臺灣股價之關聯與波動性研究-GARCH-VEC模型之應用,0。  延伸查詢new window
7.林建宇(2004)。匯率與股價不對稱因果關係之實證研究:以臺灣為例,0。  延伸查詢new window
圖書
1.Tong, H.(1983)。Threshold Models in Non-Linear Time Series Analysis。Springer-Verlag。  new window
2.Enders, Walter(2004)。Applied Econometric Time Series。New York:John Wiley & Sons。  new window
圖書論文
1.Tong, Howell(1978)。On a Threshold Model。Pattern Recognition and Signal Processing。Sijthoff & Noordhoff。  new window
 
 
 
 
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