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題名:雜訊對臺灣股價指數期貨最適避險比率之影響
書刊名:國立屏東商業技術學院學報
作者:吳如萍 引用關係劉仁俊 引用關係
作者(外文):Wu, JupingLiou, Ren-jean
出版日期:2013
卷期:15
頁次:頁207-226
主題關鍵詞:避險績效避險比率雜訊GARCHHedge effectivenessHedge ratioNoise
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)
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  • 點閱點閱:82
期刊論文
1.叢宏文(19980700)。日經股價指數期貨避險效果之實證研究--GARCH模型之應用。證券暨期貨管理,16(7),1-23。  延伸查詢new window
2.Chou, W. L.、Fan, K. K.、Cheng, F. L.(1996)。Hedging with the Nikkei Index Futures: Conventional Model versus the Error Correction Model。The Quarterly Review of Economics and Finance,36(4),495-505。  new window
3.Hasbrouck, J.(1991)。Measuring the Information Contest of Stock Trades。Journal of Finance,46,178-208。  new window
4.Johnson, L. L.(1960)。The Theory of Hedging and Speculation in Commodity Futures。Review of Economics and Studies,27,659-664。  new window
5.Neal, R.、Wheatley, S. M.(1998)。Adverse Selection and Bid-Ask Spreads: Evidence from Closed-End Funds。Journal of Financial Markets,1(1),121-149。  new window
6.Working, H.(1962)。New Concepts Concerning Futures Markets and Prices。American Economic Review,51(2),431-459。  new window
7.Najand, M.、Yung, K.(1994)。Conditional Heteroskedasticity and the Weekend Effect in S and P 500 Index Futures。Journal of Business Finance and Accounting,21(4),603-612。  new window
8.Hiraki, T.、Maberly, E. D.、Akezawa, N. T.(1995)。The Information Content of End-of-the-Day Index Futures Returns: International Evidence form the Osaka Nikkei 225 Futures Contract。Journal of Banking and Finance,19(5),921-936。  new window
9.Glosten, Lawrence R.、Harris, Lawrence E.(1988)。Estimating the Components of the Bid/Ask Spread。Journal of Financial Economics,21(1),123-142。  new window
10.Working, Holbrook(1953)。Futures trading and hedging。American Economic Review,43(3),314-343。  new window
11.Abhyankar, A. H.(1995)。Return and Volatility Dynamics in the FT-SE 100 Stock Index Stock Index Futures Market。Journal of Futures Markets,15(4),457-488。  new window
12.Iihara, Yoshio、Kato, Kiyoshi、Tokunaga, Toshifumi(1996)。Intraday Return Dynamics between the Cash and the Futures Markets in Japan。Journal of Futures Markets,16(2),147-162。  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.Holmes, P.(1996)。Stock Index Futures Hedging: Hedge Ratio Estimation, Duration Effects, Expiration Effects and Hedge Ratio Stability。Journal of Business Finance and Accounting,23(1),63-77。  new window
15.Park, T. H.、Switzer, L. N.(1995)。Bivariate GARCH Estimation of the Optimal Hedge Ratios for Stock Index Future: A Note。Journal of Futures Markets,15,61-67。  new window
16.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
17.Hill, Joanne、Schneeweis, T.(1981)。A Note on the Hedging Effectiveness of Foreign Currency Futures。Journal of Future Markets,1(4),659-664。  new window
18.Copeland, T. E.,、Galai, D.(1983)。Information Effect on the Bid/Ask Spread。Journal of Finance,38(5),1457-1469。  new window
19.Fama, Eugene F.、French, Kenneth R.(1988)。Permanent and Temporary Components of Stock Prices。Journal of Political Economy,96(2),246-273。  new window
20.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
21.Markowitz, Harry M.(1952)。Portfolio Selection。The Journal of Finance,7(1),77-91。  new window
22.Black, Fisher(1986)。Noise。Journal of Finance,41(3),529-543。  new window
23.Shefrin, Hersh M.、Statman, Meir(1994)。Behavioral capital asset pricing theory。Journal of Financial and Quantitative Analysis,29(3),323-349。  new window
24.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
25.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
26.Chan, Kalok、Chan, K. C.、Karolyi, G. Andrew(1991)。Intraday Volatility in the Stock Index and Stock Index Futures Markets。The Review of Financial Studies,4(4),657-684。  new window
27.Ederington, Louis H.(1979)。The Hedging Performance of the New Futures Markets。Journal of Finance,34(1),157-170。  new window
28.Figlewski, Stephen(1984)。Hedging Performance and Basis Risk in Stock Index Futures。Journal of Finance,39(3),657-669。  new window
29.Gray, Roger W.、Rutledge, David J. S.(1971)。The Economics of Commodity Futures Markets: A Survey。Review of Marketing and Agricultural Economics,39(4),57-108。  new window
30.Fama, Eugene F.(1970)。Efficient Capital Markets: A Review of Theory and Empirical Work。The Journal of Finance,25(2),383-417。  new window
學位論文
1.溫曜誌(1998)。以SIMEX摩根台股指數期貨規避台灣股價指數風險之研究(碩士論文)。國立政治大學。  延伸查詢new window
2.賴昌作(2000)。股價指數期貨之避險比率與避險效益(碩士論文)。國立台灣科技大學。  延伸查詢new window
3.魏志良(2002)。國際股價指數期貨與現貨直接避險策略之研究(碩士論文)。淡江大學。  延伸查詢new window
4.江文強(1997)。股價指數期貨避險效果之研究(碩士論文)。國立交通大學。  延伸查詢new window
圖書
1.Shiller, R. J.(1988)。Fashions, Fad, and Bubbles in Financial Markets。Oxford university press。  new window
 
 
 
 
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