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題名:股票市場不對稱訊息的外溢效果
書刊名:財務金融學刊
作者:方文碩 引用關係王冠閔董澍琦 引用關係
作者(外文):Fang, Wen-shwoWang, Kuao-minDoong, Shuh-chyi
出版日期:2008
卷期:16:1
頁次:頁65-98
主題關鍵詞:亞洲金融危機不對稱訊息外溢效果VAR模型Asian financial crisisAsymmetric informationSpillover effectVAR model
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(0) 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:3
  • 點閱點閱:33
期刊論文
1.Hansen, B. E.(1997)。Inference in TAR Models。Studies in Nonlinear Dynamics and Econometrics,2(1),1-14。  new window
2.Weise, Charles L.(1999)。The Asymmetric Effects of Monetary Policy: A Nonlinear Vector Autoregression Approach。Journal of Money, Credit and Banking,31(1),85-108。  new window
3.Sarantis, N.(2001)。Nonlinearities, Cyclical Behaviour and Predictability in Stock Markets: International Evidence。International Journal of Forecasting,17(3),459-482。  new window
4.Koutmos, G.(1999)。Asymmetric Price and Volatility Adjustments in Emerging Asian Stock Markets。Journal of Business Finance and Accounting,26,83-101。  new window
5.Radelet, S.、Sachs, J.(1998)。The East Asian financial crisis: diagnosis, remedies, prospects。Brookings Papers Economic Activity,28(1),1-74。  new window
6.Baig, Taimur、Goldfajn, Ilan(1999)。Financial Market Contagion in the Asian Crisis。IMF Staff Papers,46(2),167-195。  new window
7.Nagayasu, J.(2001)。Currency crisis and contagion: evidence from exchange rates and sectoral stock indices of the Philippines and Thailand。Journal of Asian Economics,12(4),529-546。  new window
8.Koop, Gary、Pesaran, M. H.、Potter, Simon M.(1996)。Impulse Response Analysis in Nonlinear Multivariate Models。Journal of Econometrics,74(1),119-147。  new window
9.Shen, C. H.、Chiang, T. C. H.(1999)。Retrieving the Vanishing Liquidity Effect--A Threshold Vector Autoregressive Model。Journal of Economics and Business,51(3),259-277。  new window
10.Aggarwal, C.、Inclan, C.、Lean, R.(1999)。Volationity in Emerging Stock Markets。Journal of Finacical and Quantitative Analysis,34(1),33-55。  new window
11.Hamao, Y. R.、Masulis, R. W.、Ng, V. K.(1990)。Correlations in Price Changes and Volatility across International Stock Markets。The Review of Financial Studies,3(2),281-307。  new window
12.Inclan, C.、Tiao, G. C.(1994)。Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance。Journal Of the American Statistical Association,89(427),913-923。  new window
13.Koutmos, Gregory(1998)。Asymmetries in the Conditional Mean and the Conditional Variance: Evidence from Nine Stock Markets。Journal of Economics and Business,50(3),277-290。  new window
14.Urrutia, J. L.、Malliaris, A. G.(1992)。The International Crash of October 1987: Causality Tests。Journal of Financial and Quantitative Analysis,27(3),353-364。  new window
15.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
16.Longin, Francois M.、Solnik, Bruno(2001)。Extreme Correlation of International Equity Markets。Journal of Finance,56(2),649-676。  new window
17.Eun, Cheol S.、Shim, Sangdal(1989)。International Transmission of Stock Market Movements。Journal of Financial and Quantitative Analysis,24(2),241-256。  new window
18.King, Mervyn A.、Wadhwani, Sushil(1990)。Transmission of Volatility between Stock Markets。The Review of Financial Studies,3(1),5-33。  new window
19.Lin, Wen-Ling、Engle, Robert F.、Ito, Takatoshi(1994)。Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility。Review of Financial Studies,7(3),507-538。  new window
20.Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society,59(2),347-370。  new window
21.Forbes, Kristin J.、Rigobon, Roberto(2002)。No Contagion, Only Interdependence: Measuring Stock Market Comovements。Journal of Finance,57(5),2223-2261。  new window
22.Sachs, J.(1998)。Global Capitalism: Making It Work。The Economist,348,23-25。  new window
23.Huang, B. N.、Yang, C. W.(2002)。Volatility of Changes in G-5 Exchange Rates and Its Market Transmission Mechanism。International Journal of Finance and Economics,7,37-50。  new window
24.Hirayama, K.、Tsutusi, Y.(1998)。Threshold Effect in International Linkage of Stock Prices。Japan and the World Economy,10,441-453。  new window
25.Bekaert, G.、Harvey, C. R.(2003)。Emerging Market Finance。Journal of Empirical Finance,10,3-55。  new window
26.Ang, A.、Bekaert, G.(2002)。International Asset Allocation with Regimes Shifts。The Review of Financial Studies,15,1137-1187。  new window
27.Ng, A.(2002)。Volatility Spillovers Effects from Japan and the US to the Pacific-Basin。Journal of International Money and Finance,19,207-233。  new window
28.Karolyi, G. A.、Stulz, R. M.(1996)。Why Do Markets Move Together? An Investigation of US-Japan Stock Return Comovements。Journal of Finance,51,951-986。  new window
29.Chen, C. W. S.、Chiang, T. C.、So, M. K. P.(2003)。Asymmetrical Reaction to US Stock-return News: Evidence from Major Stock Markets Based on a Double-threshold Model。Journal of Economics & Business,55,487-502。  new window
30.Sola, M.、Spagnolo, F.、Spagnolo, N.(2002)。A Test for Volatility Spillovers。Economics Letters,76,77-84。  new window
31.Tsay, R. S.(1989)。Testing and Modeling Threshold Autoregression Process。Journal of American Statistical Association,84,231-240。  new window
研究報告
1.Gelos, G.、Sahay, R.(2000)。Financial Market Spillovers in Transition Economies。  new window
2.Balke, N. S.、Chang, C. P.(1996)。Credit and Economic Activity: Shocks or Propagation Mechanism?。0。  new window
學位論文
1.陳建福(2002)。門檻迴歸模型與追蹤資料共整合方法在財務的應用(博士論文)。國立政治大學。new window  延伸查詢new window
圖書
1.Shiller, Robert J.(1989)。Market Volatility。The MIT Press。  new window
2.Krugman, Paul(1998)。What Happened to Asia?。Cambridge, Massachusetts:MIT Press。  new window
其他
1.Calvo, G.,Mendoza, E. G.(1997)。National Herd Behavior and the Globalization of Securities Markets,0。  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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