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題名:波動預測績效比較--變幅為基礎vs.報酬率為基礎
書刊名:績效與策略研究
作者:邱建良 引用關係洪瑞成章育瑄
作者(外文):Chiu, Chien-liangHung, Jui-chengChang, Yu-hsuan
出版日期:2011
卷期:8:2
頁次:頁31-48
主題關鍵詞:GARCH模型變幅變幅波動GARCH modelsRangeRange-based volatilitySPA test
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:8
  • 點閱點閱:44
期刊論文
1.Martens, M.、van Dijk, D. V.(2007)。Measuring volatility with the realized range。Journal of Econometrics,138,181-207。  new window
2.Beckers, S.(1983)。Variances of Security Price Returns Based on High, Low, and Closing Prices。The Journal of Business,56,97-112。  new window
3.Schwert, G. W.、Seguin, P. J.(1990)。Heteroskedasticity in Stock Return。Journal of Finance,45(4),1129-1156。  new window
4.Hull, John C.、White, A.(1987)。The Pricing of Options on Assets with Stochastic Volatilities。Journal of Finance,42(2),281-300。  new window
5.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
6.Garman, Mark B.、Klass, Michael J.(1980)。On the Estimation of Security Price Volatilities from Historical Data。The Journal of Business,53(1),67-78。  new window
7.Hansen, P. R.(2005)。A Test for Superior Predictive Ability。Journal of Business and Economic Statistics,23(4),365-380。  new window
8.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
9.Fama, E. F.(1965)。The behavior of stock market prices。Journal of Business,38(1),34-105。  new window
10.Engle, Robert F.(2002)。Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models。Journal of Business & Economic Statistics,20(3),339-350。  new window
11.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
12.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
13.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
14.Diebold, Francis X.、Mariano, Roberto S.(1995)。Comparing Predictive Accuracy。Journal of Business and Economic Statistics,13(3),253-263。  new window
15.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
16.Chou, R. Y.(2005)。Forecasting financial volatilities with extreme values: the conditional autoregressive range (CARR) Model。Journal of Money, Credit and Banking,37(3),561-582。  new window
17.Christie, Andrew A.(1982)。The Stochastic Behavior of Common Stock Variances: Value, Leverage and Interest Rate Effects。Journal of Financial Economics,10(4),407-432。  new window
18.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
19.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
20.Christoffersen, Peter F.(1998)。Evaluating Interval Forecasts。International Economic Review,39(4),841-862。  new window
21.Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society,59(2),347-370。  new window
22.Rogers, L. C. G.、Satchell, S. E.(1991)。Estimating variance from high, low and closing prices。The annals of applied probability,1(4),504-512。  new window
23.Yang, D.、Zhang, Q.(2000)。Drift-independent Volatility Estimation Based on High, Low, Open, and Close Prices。Journal of Business,73,477-491。  new window
24.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
25.Mandelbrot, Benoit B.(1963)。The Variation of Certain Speculative Prices。The Journal of Business,36(4),394-419。  new window
26.Christoffersen, Peter F.、Diebold, Francis X.(1998)。Cointegration and long-horizon forecasting。Journal of Business and Economic Statistics,16(4),450-458。  new window
27.Bollerslev, T.、Engle R. F.、Nelson, D. B.(1994)。ARCH models。The Handbook of Econometrics,4,2959-3038。  new window
28.Gallant, A. R.、Hsu C.T.、Tauchen, G.(1999)。Using daily range data to calibrate volatility diffusions and extract the forward integrated variance。Review of Economics and Statistics,81(4),617-631。  new window
會議論文
1.Black, Fisher(1976)。Studies of Stock Price Volatility Changes。The 1976 Meeting of Business and Economic Statistics Section。American Statistical Association。177-181。  new window
 
 
 
 
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