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題名:亞太區域債券市場動態關聯性之研究
書刊名:全球管理與經濟
作者:何文榮陳秀芳劉冠忠
作者(外文):Ho, Wen-rongChen, Hsiu-fangLiou, Guan-jung
出版日期:2006
卷期:2:2
頁次:頁71-93
主題關鍵詞:共整合因果關係債券市場CointegrationGranger causalityBond market
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:2
  • 點閱點閱:53
期刊論文
1.Clare, A. D.、Maras, M.、Thomas, S. H.(1995)。The integration and efficiency of international bond markets。Journal of Business Finance and Accounting,22(2),313-322。  new window
2.Kenneth, L. S.(2002)。Government Bond Market Seasonality, Diversification, and Cointegration: International Evidence。The Journal of Financial Research,25(2),203-221。  new window
3.Jorion, Philippe(1989)。Asset Allocation with Hedged and Unhedged Foreign Stocks and Bonds。Journal of Portfolio Management,15(4),49-54。  new window
4.Ball, C.、Torou, W.(2000)。Stochastic Correlation across International Stock Markets。Journal of Empirical Finance,7,373-388。  new window
5.Levy, H.、Lerman, Z.(1988)。The Benefits of International Diversification in Bonds。Financial Analysis Journal,44(5),56-64。  new window
6.古永嘉、萬文隆(20020400)。兩岸三地股市連動之研究--狀態空間模型之應用。證券櫃檯,70,48-65。  延伸查詢new window
7.丘智謀(2004)。2004國際債券研討會重點摘錄。證券櫃檯月刊,102,32-35。  延伸查詢new window
8.沈迺潔、洪靖華(2006)。區域債券市場發展--以韓國、泰國發展國内債券市場為例。證券櫃檯月刊,117,51-71。  延伸查詢new window
9.徐清俊、陳彥豪(2004)。亞太地區公債券市場場關聯性之研究。證券櫃檯月刊,99,44-58。  延伸查詢new window
10.徐清俊、陳彥豪(2004)。台灣、日本、英國及美國公債券市場場動態關聯性之研究。運籌研究集刊,5,31-56。  延伸查詢new window
11.董澍琦、楊聲勇、藍淑鳳(20050700)。股票報酬與經濟成長--亞太新興國家之實證研究。東海管理評論,7(1),285-304。new window  延伸查詢new window
12.蔡宗達(2004)。新加坡亞洲債券高峰會部分摘要。證券櫃檯月刊,96。  延伸查詢new window
13.蔡宗達(2005)。2005年全球政府債券年會紀實。證券櫃檯月刊,114,14-17。  延伸查詢new window
14.劉祥熹、曾建國(20030300)。共整合系統中隱含共同因子之估計與應用--亞太華人地區股市關聯性之分析。企業管理學報,56,31-61。new window  延伸查詢new window
15.Engle, R. E.、Granger, C. W. J.(1987)。Cointegration and Error CorrectiomRepresentation, Estimation, and Testing。Econometrica,55,251-276。  new window
16.Markowitz, H.(1952)。Portfolio SelectionH。Journal of Finance,7,77-91。  new window
17.Schwarz, G.(1978)。Estimating the eimension of a modeln。The Annual of Statistical,6,461-464。  new window
18.Bachman, D.、Choi, J. J.、Jeon, B. N.、Kopecky, K. J.(1996)。Common Factors in International Stock Prices : Evidence from A Cointegration Study。International Review of Financial Analysis,5,39-53。  new window
19.Johansen, Soren(1994)。The Role of the Constant and Linear Terms in Cointegration Analysis of Nonstationary Variables。Econometric Reviews,13(2),205-229。  new window
20.Liu, Y. A.、Pan, M. S.、Shieh, J. C. P.(1998)。International transmission of stock price movements: Evidence from the U.S. and five Asian-Pacific markets。Journal of Economics and Finance,22(1),59-69。  new window
21.Nieh, C. C.、Lee, C. F.(2001)。Dynamic Relationship Between Stock Prices and Exchange Rates for G-7 Countries。Quarterly Review of Economics and Finance,41(4),477-490。  new window
22.Schwert, G. William(1989)。Tests for Unit Roots: A Monte Carlo Investigation。Journal of Business and Economic Statistics,7(2),147-159。  new window
23.Grubel, Herbert G.(1968)。Internationally Diversified Portfolios: Welfare Gains and Capital Flows。The American Economic Review,58(5),1299-1314。  new window
24.Johansen, Søren(1988)。Statistical Analysis of Cointegration Vectors。Journal of Economic Dynamics and Control,12(2/3),231-254。  new window
25.Johansen, Søren、Juselius, Katarina(1990)。Maximum Likelihood Estimation and Inference on Cointegration: with Applications to the Demand for Money。Oxford Bulletin of Economics and Statistics,52(2),169-210。  new window
26.Akaike, Hirotsugu(1974)。A new look at the statistical model identification。IEEE Transactions on Automatic Control,19(6),716-723。  new window
27.Phillips, Peter C. B.、Perron, Pierre(1988)。Testing for a unit root in time series regression。Biometrika,75(2),335-346。  new window
會議論文
1.林卓民、王凱立、王美智(2004)。美國與台灣跨國債券市場交互動態關係之研究。第八届經濟發展學術研討會。  延伸查詢new window
研究報告
1.Hunter, D. M.、Simon, D. P.(2003)。A Conditional Assessment of the Relationships between the Major World Bond Markets。University of South Florida。  new window
圖書
1.楊奕農(2005)。時間序列分析--經濟與財務上之應用。臺北:雙葉書廊有限公司。  延伸查詢new window
2.Newbold, P.、Granger, C. W. J.(1986)。Forecasting Economic Time Series。Academic Press。  new window
其他
1.Miyakoshi Tatsuyoshi(2001)。Notes on volatility spillover effectsfrom Japan and the US to the Pacific-Basin (Speech in National Normal University Taiwan),National Normal University Taiwan。  new window
 
 
 
 
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