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題名:股價與產出波動不對稱的外溢效應
書刊名:財務金融學刊
作者:李源明 引用關係黃柏農 引用關係王冠閔
作者(外文):Lee, Yuan-mingHuang, Bwo-nungWang, Kuan-min
出版日期:2008
卷期:16:4
頁次:頁163-207
主題關鍵詞:股價波動產出波動門檻向量自我迴歸模型波動外溢Stock return volatilityEconomic growth volatilityThreshold vector autoregressiveVolatility spillover
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:62
  • 點閱點閱:47
期刊論文
1.Henry, Ólan T.、Olekalns, Nilss、Thong, Jonathan(2004)。Do Stock Market Returns Predict Changes to Output? Evidence from a Nonlinear Panel Data Model。Empirical Economics,29,527-540。  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.Huang, Bwo-Nung、Hwang, M. J.、Peng, Hsiao-Ping(2005)。The Asymmetry of the Impact of Oil Price Shocks on Economic Activities: An Application of the Multivariate Threshold Model。Energy Economics,27(3),455-476。  new window
4.Mauro, P.(2003)。Stock Returns and Output Growth in Emerging and Advanced Economies。Journal of Development Economics,71,129-153。  new window
5.Levine, Ross、Renelt, David(1992)。A Sensitivity Analysis of Cross-Country Growth Regressions。American Economic Review,82(4),942-963。  new window
6.Engle, R. F.、Ng, V.、Rothschild, M.(1990)。Asset pricing with a factor ARCH covariance structure: empirical estimates for Treasury Bills。Journal of Econometrics,45(1/2),213-238。  new window
7.倪衍森、徐光耀(19991100)。臺灣股市波動性的傳遞性研究。淡江人文社會學刊,4,171-201。new window  延伸查詢new window
8.Cheung, Y. W.、Ng, L. K.(1996)。A Causality-in-variance Test and Its Application to Financial Market Prices。Journal of Econometrics,72,33-48。  new window
9.Ross, S. A.(1989)。Information and Volatility: the No-Arbitrage Martingale Approach to Timing and Resolation Irrelevancy。Journal of Finance,44,1-17。  new window
10.Hamilton, J. D.、Lin, G.(1996)。Stock Market Volatility and the Business Cycle。Journal of Applied Economics,11(5),573-593。  new window
11.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
12.Morgan, I. G.(1976)。Stock Prices and Heteroscedasticity。Journal of Business,49,496-508。  new window
13.Engle, R. F.(1982)。Autoregressive Conditional Heteroske- dasticity with Estimates of the Variance of U.K. Inflation。Econometrica,50(4),987-1008。  new window
14.Liljeblom, E.、Stenius, M.(1997)。Macroeconomic volatility and stock market volatility: Empirical evidence on Finnish data。Applied Financial Economics,7,419-426。  new window
15.徐士勛、管中閔(20011200)。九零年代臺灣的景氣循環:馬可夫轉換模型與紀卜斯抽樣法的應用。人文及社會科學集刊,13(5),515-540。new window  延伸查詢new window
16.黃柏農(1998)。臺灣的股價與總體變數之間的關係。證券市場發展,10(4)=40,89-109。new window  延伸查詢new window
17.Schwert, G. W.(1990)。Stock Market Volatility。Financial Analysts Journal,46(3),23-34。  new window
18.林向愷、黃裕烈、管中閔(19981200)。景氣循環轉折點認定與經濟成長率預測。經濟論文叢刊,26(4),431-457。new window  延伸查詢new window
19.Officer, Robert R.(1973)。The Variability of the Market Factor of the New York Stock Exchange。Journal of Business,46(3),434-453。  new window
20.Fama, E. F.(1965)。The behavior of stock market prices。Journal of Business,38(1),34-105。  new window
21.Schwert, G. William(1989)。Why Does Stock Market Volatility Change Over Time?。Journal of Finance,44(5),1115-1153。  new window
22.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
23.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
24.Bollerslev, Tim、Chou, Ray Y.、Kroner, Kenneth F.(1992)。ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence。Journal of Econometrics,52(1/2),5-59。  new window
25.Engle, Robert F.、Ito, Takatoshi、Lin, Wen-Ling(1990)。Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market。Econometrica,58(3),525-542。  new window
26.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
27.Mandelbrot, Benoit B.(1963)。The Variation of Certain Speculative Prices。The Journal of Business,36(4),394-419。  new window
28.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
29.Morelli, D.(2002)。The Relationship between Conditional Stock Market Volatility and Conditional Macroeconomic Volatility Empirical Evidence Base on U.K. Data。International Review of Financial Analysis,11,101-110。  new window
30.Davis, N.、Kutan, A. M.(2003)。Inflation and Output as Predictors of Stock Return and Volatility: International Evidence。Applied Financial Economics,13,693-700。  new window
31.Sarantis, Nicholas(2001)。Nonlinearities, Cyclical Behavior and Predictability in Stock Markets: International Evidence。International Journal of Forecasting,17,459-482。  new window
32.Choi, J. C.、Hauser, S.、Kopecky, K. J.(1999)。Does Stock Market Predict Real Activity? Time Series Evidence from the G-7 Country。Journal of Banking & Finance,23,1771-1792。  new window
33.Hassapis, C.(2003)。Financial Variables and Real Activity in Canada。The Canadian Journal of Economics,36(2),421-442。  new window
34.Hussey, R.(1992)。Nonparametric Evidence on Asymmetry in Business Cycles Using Aggregate Employment Time Series。Journal of Econometrics,51,217-231。  new window
35.Fama, E. F.(1990)。Stock Return, Expected Return, Real Activity。Journal of Finance,71,545-546。  new window
36.Huang, B. N.、Yang, C. W.(2004)。Industrial Output and Stock Price Revisited: An Application of the Multivariate Indirect Causality Model。The Manchester School,72,347-362。  new window
37.Tsay, R. S.(1998)。Testing and Modelling Multivariate Threshold Models。Journal of the American Statistical Association,93,1188-1202。  new window
38.黃德芬(1995)。臺灣股票市場波動性之研究。證券市場發展季刊,7(4),157-183。new window  延伸查詢new window
研究報告
1.Manganelli, S.、Ceci, V.、Vecchiato, W.(2002)。Sensitivity Analysis of Volatility: A New Tool for Risk Management。0。  new window
圖書
1.Books, Chris(2002)。Introductory Econometrics for Finance。Cambridge:Cambridge University Press。  new window
2.陳元保(1999)。股市波動與經濟波動的因果關係,經濟專論。股市波動與經濟波動的因果關係,經濟專論。臺北。  延伸查詢new window
圖書論文
1.Sill, D. K.(1993)。Predicting Stock: Market Volatility。Business Review--Federal Reserve Bank of Philadelphia。  new window
 
 
 
 
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