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題名:變幅EGARCH模型預測能力之實證研究
書刊名:財務金融學刊
作者:巫春洲周恆志王錦瑩范家銘
作者(外文):Wu, Chun-chouChou, Heng-chihWang, Jin-yingFan, Chia-ming
出版日期:2008
卷期:16:3
頁次:頁173-207
主題關鍵詞:變幅波動性槓桿效果EGARCHREGARCHEGARCH modelREGARCH modelRangeVolatilityLeverage effect
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:19
  • 點閱點閱:24
期刊論文
1.Duan, Jin-Chuan(1997)。Augmented GARCH (p,q) process and its diffusion limit。Journal of Econometrics,79(1),97-127。  new window
2.West, K. D.、Cho, D.(1995)。The Predictive Ability of Several Models of Exchange Rate Volatility。Journal of Econometrics,69(2),367-391。  new window
3.Engle, R. F.(1990)。Discussion: Stock Market Volatility and The Crash of 87。Review of Financial Studies,3,109-106。  new window
4.Hentschel, L.(1995)。All in the Family Nesting Symmetric and Asymmetric GARCH Models。Journal of Financial Economics,39(1),71-104。  new window
5.Chou, R.Y.(2005)。Forecasting Financial Volatilities with Extreme Value: the Conditional Autoregressive Range Model。Journal of Money, Credit and Banking,37(3),561-582。  new window
6.周雨田、李志宏、巫春洲(20020800)。臺灣期貨對現貨市場的資訊傳遞效果分析。財務金融學刊,10(2),1-22。new window  延伸查詢new window
7.周雨田、巫春洲、劉炳麟(20040400)。動態波動模型預測能力之比較與實證。財務金融學刊,12(1),1-25。new window  延伸查詢new window
8.Schwert, G. William(1990)。Stock Volatility and the Crash of '87。Review of Financial Studies,3(1),77-102。  new window
9.Fama, E. F.(1965)。The behavior of stock market prices。Journal of Business,38(1),34-105。  new window
10.Schwert, G. William(1989)。Why Does Stock Market Volatility Change Over Time?。Journal of Finance,44(5),1115-1153。  new window
11.Pagan, Adrian R.、Schwert, G. William(1990)。Alternative Models for Conditional Stock Volatility。Journal of Econometrics,45(1/2),264-290。  new window
12.Engle, Robert F.、Ng, Victor K.(1993)。Measuring and testing the impact of news on volatility。The Journal of Finance,48(5),1749-1778。  new window
13.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
14.Andersen, Torben Gustav、Bollerslev, Tim(1998)。Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts。International Economic Review,39(4),885-905。  new window
15.Andersen, Torben G.、Bollerslev, Tim、Diebold, Francis X.、Ebens, Heiko(2001)。The Distribution of Realised Stock Return Volatility。Journal of Financial Economics,61(1),43-76。  new window
16.Alizadeh, Sassan、Brandt, Michael W.、Diebold, Francis X.(2002)。Range-based Estimation of Stochastic Volatility Models。The Journal of Finance,57(3),1047-1091。  new window
17.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
18.Parkinson, Michael(1980)。The extreme value method for estimating the variance of the rate of return。Journal of Business,53(1),61-65。  new window
19.Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society,59(2),347-370。  new window
20.Glosten, Lawrence R.、Jagannathan, Ravi、Runkle, David E.(1993)。On the Relation Between the Expected Value and the Volatility on the Nominal Excess Returns on Stocks。Journal of Finance,48(5),1779-1801。  new window
21.Mandelbrot, Benoit B.(1963)。The Variation of Certain Speculative Prices。The Journal of Business,36(4),394-419。  new window
22.French, K. R.、Schwert, G. W.、Stambaugh, R. F.(1987)。Expected Stock Return and Volatility。Journal of Financial Economics,19,3-29。  new window
23.Duan, J. C.、Simonato, J. G.(2001)。American Option Pricing under GARCH by a Markov Chain Approximation。Journal of Economic Dynamics and Control,25,1689-1718。  new window
24.Ritchken, P.、Trevor, R.(1999)。Pricing Options under Generalized GARCH and Stochastic Volatility Process。Journal of Finance,54,337-402。  new window
25.Engle, R. F.、Lilien, D. M.、Robins, R. P.(1987)。Estimation Time Varying Risk Premia in the Term Stucture: The ARCH-M Model。Econometrica,55(2),391-407。  new window
圖書
1.蔡瑞胸(2005)。Analysis of Financial Time Series。Hoboken, NJ:John Wiley & Sons, Inc.。  new window
2.Engle, R. F.、Lee, G. G. J.(1999)。A Permanent and Transitory Model of Stock Return Volatility。Cointegration, Causality, and Forecasting: A Festschrift in Honor of Clive W.J. Granger。0。  new window
其他
1.Brandt, M. W.,Jones, C. S.(2005)。Volatility Forecasting with Range-based EGARCH Models,0。  new window
 
 
 
 
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