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題名:美國次級房貸金融風暴之波動外溢現象
書刊名:管理科學研究
作者:李顯儀 引用關係李亮君鄭雅方鄭燕芬
作者(外文):Lee, Hsien-yiLee, Lian-chunCheng, Ya-fangCheng, Yen-fen
出版日期:2012
卷期:9:1
頁次:頁1-18
主題關鍵詞:次級房貸金融風暴波動外溢EGARCH模型Subprime mortgages financial crisesVolatility spilloverEGARCH model
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:24
期刊論文
1.Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica,59(2),347-370。  new window
2.Aggarwal, C.、C. Inclan、R. Leal(1999)。Volatility in emerging stock markets。Journal of Financial and Quantitative Analysis,34(1),33-55。  new window
3.Brailsford, T. J.、S. L. Lin、J. H. W. Penm(2006)。Conditional risk, return and contagion in the banking sector in Asia。Research in International Business and Finance,20(3),322-339。  new window
4.Candelon, B.、Hecq, A.、Verschoor, W. F. C.(2005)。Measuring common cyclical features during financial turmoil: evidence of interdependence not contagion。Journal of International Money and Finance,24(8),1317-1334。  new window
5.Collins, D.、N. Biekpe(2003)。Contagion: a fear for African equity markets。Journal of Economics and Business,55(3),285-297。  new window
6.Dungey, M.、R. Fry、B. González-Hermosillo、V. Martin(2006)。Contagion in international bond markets during the Russian and the LTCM crises。Journal of Financial Stability,2(1),1-27。  new window
7.Fama, E. F.(1965)。The behavior of stock market prices。Journal of Business,38(1),34-105。  new window
8.Glick, R.、A. K. Rose(1999)。Contagion and trade: why are currency crises regional。Journal of International Money and Finance,18(4),603-617。  new window
9.Gravelle, T.、M. Kichian、J. Morley(2006)。Detecting shift-contagion in currency and bond markets。Journal of International Economics,68(2),409-423。  new window
10.Hon, M. T.、J. Strauss、S. K. Yong(2004)。Contagion in financial markets after September 11: myth or reality。Journal of Financial Research,27(1),95-114。  new window
11.Ito, T.、Hashimoto, Y.(2005)。High-frequency contagion of currency crises in Asia。Asian Economic Journal,19(4),357-382。  new window
12.Kanas, A.(2000)。Volatility spillovers between stock returns and exchanges: international evidence。Journal of Business Finance and Accounting,27(3),447-467。  new window
13.Lee, H.-Y.、Wu, H.-C.、Wang, Y.-J.(2007)。Contagion effect in financial markets after the South-East Asia Tsunami。Research in International Business and Finance,21(2),281-296。  new window
14.Mandelbrot, B.(1963)。The variation of certain speculative prices。Journal of Business,36(2),394-419。  new window
15.Su, Y. C.、Tsai, J. S.(1996)。Volatility and return spillovers among Asian emerging markets。Journal of Security Market Development,8(1),67-88。new window  new window
16.Susmel, R.、R. F. Engel(1994)。Hourly volatility spillovers between international equity markets。Journal of International Money and Finance,13(1),3-25。  new window
17.Tai, C. S.(2004)。Looking for risk premium and contagion in Asia-Pacific foreign exchange markets。International Review of Financial Analysis,13(4),381-409。  new window
18.Yilmaz, Kamil(2010)。Return and volatility spillovers among the East Asian equity markets。Journal of Asian Economics,21(3),304-313。  new window
19.Forbes, Kristin J.、Rigobon, R.(2002)。No Contagion, Only Interdependence: Measuring Stock Market Comovements。Journal of Finance,57(5),2223-2261。  new window
20.Zhang, W.、Zhang, Z.、Han, G.(2010)。How does the US credit crisis affect the Asia-Pacific economics? analysis based on a general equilibrium model。Journal of Asian Economics,21(3),280-292。  new window
21.Hamao, Y. R.、Masulis, R. W.、Ng, V. K.(1990)。Correlations in Price Changes and Volatility across International Stock Markets。The Review of Financial Studies,3(2),281-307。  new window
22.Engle, R. F.(1982)。Autoregressive Conditional Heteroske- dasticity with Estimates of the Variance of U.K. Inflation。Econometrica,50(4),987-1008。  new window
23.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
 
 
 
 
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