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題名:我國黃金期貨與國際黃金現貨價格趨勢之相關性
書刊名:經營管理論叢
作者:李方智黃宜候謝明峰
作者(外文):Li, Fan-gjhyHuang, Alex YihouHsieh, Ming-feng
出版日期:2011
卷期:7:2
頁次:頁51-71
主題關鍵詞:黃金現貨價格黃金期貨價格向量誤差修正模型Gold spot priceGold futures priceVector error correction model
原始連結:連回原系統網址new window
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  • 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:0
  • 點閱點閱:53
期刊論文
1.Tully, E.、Lucey, B. M.(2007)。A power GARCH examination of the gold market。Research in International Business and Finance,21(2),316-325。  new window
2.Capie, R.、Mills, T. C.、Wood, G.(2005)。Gold as a hedge against the dollar Journal of International financial Markets。Institutions and Money,15(4),343-352。  new window
3.Kolluri, B. R.(1981)。Gold as a Hedge against Inflation: An Empirical Investigation。Quarterly Review of Economics and Business,21(4),13-24。  new window
4.Martikainen, T.、Puttonen, V.(1994)。International Price Discovery in Finnish Stock Index Futures and Cash Markets。Journal of Banking and Finance,18(5),809-822。  new window
5.Toda, Hiro Y.、Phillips, Peter C. B.(1993)。Vector Autoregressions and Causality。Econometrica: Journal of the Econometric Society,61(6),1367-1393。  new window
6.Roope, M.、Zurbruegg, R.(2002)。The Intra-day Price Discovery Process between the Singapore Exchange and Taiwan Futures Exchange。The Journal of Futures Markets,22(3),219-240。  new window
7.Aggarwal, Raj、Soenen, Luc A.(1988)。The nature and efficiency of the gold market。Journal of portfolio management,14(3),18-21。  new window
8.Hung, Mao‐Wei、Zhang, Hua(1995)。Price Movements and Price Discovery in The Municipal Bond Index and The Index Futures Markets。Journal of Futures Markets,15(4),489-506。  new window
9.郭如秀(19980300)。共整合與市場效率:臺灣玉米現貨價格與美國玉米期貨價格之研究。臺灣土地金融季刊,35(1)=135,121-130。  延伸查詢new window
10.Aulton, A. J.、Ennew, C. T.、Rayner, A. J.(1997)。Efficiency Tests of Futures Markets for UK Agricultural Commodities。Journal of Agricultural Economics,48(3),425-441。  new window
11.Wahab, Mahmoud、Lashgari, Malek(1993)。Price Dynamics and Error Correction in Stock Index and Stock Index Futures Markets: A Cointegration Approach。Journal of Futures Markets,13(7),711-742。  new window
12.Ghosh, Asim(1993)。Hedging with Stock Index Futures: Estimation and Forecasting with Error Correction Model。Journal of Futures Markets,13(7),743-752。  new window
13.Granger, C. W. J.(1981)。Some Properties of Time Series Data and Their Use in Econometric Model Specification。Journal of Econometrics,16(1),121-130。  new window
14.Granger, C. W. J.、Newbold, P.(1974)。Spurious Regression in Econometrics。Journal of Econometrics,2(2),111-120。  new window
15.Johansen, Søren(1988)。Statistical Analysis of Cointegration Vectors。Journal of Economic Dynamics and Control,12(2/3),231-254。  new window
16.Sims, Christopher A.(1980)。Macroeconomics and Reality。Econometrica: Journal of the Econometric Society,48(1),1-48。  new window
17.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
18.Dickey, David A.、Fuller, Wayne A.(1979)。Distribution of the Estimators for Autoregressive Time Series With a Unit Root。Journal of the American Statistical Association,74(366),427-431。  new window
19.Phillips, Peter C. B.、Perron, Pierre(1988)。Testing for a unit root in time series regression。Biometrika,75(2),335-346。  new window
20.鄭婉秀、鄭易凭、蘇新玫(2005)。商品期貨波動性之預測--CARR模型之應用。朝陽商管評論,5(2),115-132。new window  延伸查詢new window
21.Ball, C.、Torous, W.、Tschoegl, A.(1982)。Gold and the Weekend Effect。The Journal of Futures Markets,2(2),175-182。  new window
22.Batten, J.、Lucey, B.(2010)。Volatility in the gold futures market。Applied Economics Letters,17(2),187-190。  new window
23.Cai, Jun、Cheung, Y. L.、Wong, M. S.(2001)。What Moves the Gold Market?。Journal of Futures Markets,21(3),257-278。  new window
24.Khalifa, A.、Miao, H.、Ramchander, S.(2011)。Return Distributions and Volatility Forecasting in Metal Futures Markets: Evidence from Gold, Silver, and Copper。Journal of Futures Markets,31(1),55-80。  new window
25.Narayan, P.、Narayan, S.、Zheng, X.(2010)。Gold and Oil Futures Markets: Are markets efficient?。Applied Energy,87(10),3299-3303。  new window
26.Serletis, A.、Scowcroft, D.(1991)。Informational Efficiency of Commodity Futures Prices。Applied Financial Economics,1(4),185-192。  new window
研究報告
1.Kavalis, Nikos(2006)。Prices and the Influence of the US Dollar。  new window
2.Tkacz, G.(2007)。Gold Price and Inflation。Research Department Bank of Canada。  new window
圖書
1.Hull, John C.(2009)。Options, Futures, and Other Derivatives。New York:Pearson Education。  new window
2.Enders, Walter(2004)。Applied Econometric Time Series。New York:John Wiley & Sons。  new window
3.Chance, D. M.、Brooks, R.(2008)。An Introduction to Derivatives and Risk Management。Mason, OH.。  new window
4.Neftci, S. N.(2008)。Principles of Financial Engineering。San Diego。  new window
 
 
 
 
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