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題名:次貸危機與蔓延效應:美股與東歐股市的實證研究
書刊名:文大商管學報
作者:聶建中 引用關係高友笙古御呈
作者(外文):Nieh, Chien-chungKao, Yu-shengKu, Yu-cheng
出版日期:2013
卷期:18:2
頁次:頁25-50
主題關鍵詞:不對稱門檻共整合模型次級房貸危機蔓延效應東歐股市Asymmetric threshold co-integration modelSubprime mortgage crisisContagion effectEast European stock markets
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:16
  • 點閱點閱:63
期刊論文
1.Dungey, M.、Fry, R.、González-Hermosillo, B.、Martin, V.(2006)。Contagion in international bond markets during the Russian and the LTCM crises。Journal of Financial Stability,2(1),1-27。  new window
2.Aloui, R.、Aïssa, M. S. B.、Nguyen, D. K.(2011)。Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure。Journal of Banking & Finance,35,130-141。  new window
3.Wang, Y. S.、Chueh, Y. L.(2013)。Dynamic transmission effects between the interest rate, the US dollar, and gold and crude oil prices。Economic Modelling,30(4),792-798。  new window
4.聶建中、高友笙、楊超翔(20110400)。次級房貸危機前後美股對亞股的不對稱性蔓延效果。中原企管評論,9(1),25-52。new window  延伸查詢new window
5.Abad, P., Chuli(2010)。EMU and European government bond market integration。Journal of Banking and Finance,34,2851-2860。  new window
6.Afonso, A.,、Furceri, D.,、Gomes, P.(2012)。Sovereign credit ratings and financial markets linkages: Application to European data。Journal of International Money and Finance,31(3),606-638。  new window
7.Alaoui, M. E.,、Benbachir, S.(2013)。Spillover Effect in the MENA Area: Case of Four Financial Markets。International Research Journal of Finance and Economics,103,162-177。  new window
8.Arghyrou , M. G.、Kontonikas, A.(2012)。The EMU sovereign-debt crisis: Fundamentals, expectations and contagion。Journal of International Financial Markets, Institutions and Money,22(4),658-677。  new window
9.Arize, A. C.,、Malindretos, J.(2012)。Nonstationarity and nonlinearity in inflation rate: Some further evidence。International Review of Economics and Finance,24,224-234。  new window
10.Arouria, M. E. H.、Bellalahb, M.、Nguyenc, D. K.(2009)。The comovements in international stock markets: new evidence from Latin American emerging countries。Applied Economics Letters,18(1),1-6。  new window
11.Claessens, S.,、Ariccia, G. D.,、Igan, D.,、Laeven, L.(2010)。Cross-country experiences and policy implications from the global financial crisis。Economic Policy,25(62),267-293。  new window
12.Dumontaux, N.,、Pop, A.(2013)。Understanding the market reaction to shockwaves: Evidence from the failure of Lehman Brothers。Journal of Financial Stability,9(3),269-286。  new window
13.Frankel, Jeffrey A.、Saravelos, George(2012)。Can Leading Indicators Assess Country Vulnerability? Evidence from the 2008-09 Global Financial Crisis。Journal of International Economics,87(2),216-231。  new window
14.Gharsellaoui, M.(2013)。Subprime Crisis and Financial Contagion: Evidence from Tunisia。International Journal of Economics and Financial Issues,3(1),153-162。  new window
15.Gilmore, C.G.,、Lucey, B.,、McManus, G.M.(2008)。The dynamics of central European equity market comovements。Quarterly Review of Economics and Finance,48,605-622。  new window
16.Iyer, R.,、Peydró, J. L(2011)。Interbank Contagion at Work: Evidence from a Natural Experiment。Review of Financial Studies,24(4),1337-1377。  new window
17.Jawadi, F.,、Louhichi, W.,、Ameur, H. B.(2013)。Do the US trends drive the UK–French market linkages? empirical evidence from a threshold intraday analysis。Applied Economics Letters,20(5),499-503。  new window
18.Jayech, S.,、Zina, N. B.(2013)。Measuring financial contagion: a directed acyclic graphs and error correction model。International Journal of Business Innovation and Research,7(1),40-60。  new window
19.Laurent, J. P.,、Cousin, A.,、Fermanian, J. D.(2011)。Hedging default risks of CDOs in Markovian contagion models。Quantitative Finance,11(12),1773-1791。  new window
20.Milunovich , G.,、Tan, A.(2013)。Testing for contagion in US industry portfolios - a four-factor pricing approach。Applied Financial Economics,23(1),15-26。  new window
21.Podlich, N.,、Wedow, M.(2013)。Are insurers SIFIs? A MGARCH model to measure interconnectedness。Applied Economics Letters,20(7),677-681。  new window
22.Ranta, M.(2013)。Contagion among Major World Markets: a Wavelet Approach。International Journal of Managerial Finance,9(2),133-149。  new window
23.Samarakoon, L. P.(2011)。financial crisis: The case of emerging and frontier markets。Journal of International Financial Markets, Institutions and Money,21(5),724-742。  new window
24.Shieh, C. H.,、Ho, Y. S.(2012)。The Sovereign Debt Crisis and Contagion in Financial Markets。International Research Journal of Finance and Economics,101,39-60。  new window
25.Sikka, P.,、Filling, S.,、Liew, P.(2009)。The audit crunch: reforming auditing。Managerial Auditing Journal,24(2),135-155。  new window
26.Siklos, P.、Granger, C. W.(1997)。Regime-Sensitive Cointegration with an Application to Interest Rate Parity。Macroeconomic Dynamics,3(4),640-657。  new window
27.Sobreira, R.(2011)。The Brazilian experience on prudential regulation and its impacts on the 2008 financial crisis。Brazilian Journal of Political Economy,31(5),893-902。  new window
28.Swan, P. L.(2009)。The political economy of the subprime crisis: Why subprime was so attractive to its creators。European Journal of Political Economy,25(1),124-132。  new window
29.Tamakoshi, G.,、Hamori, S.(2013)。Volatility and mean spillovers between sovereign and banking sector CDS markets: a note on the European sovereign debt crisis。Applied Economics Letters,20(3),262-266。  new window
30.Caporale, G. M.、Cipollini, A.、Spagnolo, N.(2005)。Testing for Contagion: a Conditional Correlation Analysis。Journal of Empirical Finance,12(3),476-489。  new window
31.Sarantis, N.(2001)。Nonlinearities, Cyclical Behaviour and Predictability in Stock Markets: International Evidence。International Journal of Forecasting,17(3),459-482。  new window
32.Stock, James H.(1987)。Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors。Econometrica,55(5),1035-1056。  new window
33.Pippenger, M. K.、Goering, G. E.(2000)。Additional Results on the Power of Unit Root and Cointegration Tests under Threshold Processes。Applied Economics Letters,7(10),641-644。  new window
34.朱景鵬(20080900)。土耳其加入歐洲聯盟之進程與爭辯。問題與研究,47(3),75-103。new window  延伸查詢new window
35.Chan, K. S.(1993)。Consistency and Limiting Distribution of the Least Squares Estimator of a Threshold Autoregressive Model。The Annals of Statistics,21(1),520-533。  new window
36.Anderson, H. M.(1997)。Transaction Costs and Non-Linear Adjustment Towards Equilibrium in the US Treasury Bill Market。Oxford Bulletin of Economics and Statistics,59(4),465-484。  new window
37.Boucher, C.(2007)。Asymmetric Adjustment of Stock Prices to Their Fundamental Value and the Predictability of US Stock Returns。Economics Letters,95(3),339-347。  new window
38.Chiang, M. H.(2001)。The Asymmetric Behavior and Spillover Effects on Stock Index Returns: Evidence on Hong Kong and China。Pan Pacific Management Review,4(1),1-21。  new window
39.Li, W. K.、Lam, Kin(1995)。Modelling Asymmetry in Stock Returns by a Threshold Autoregressive Conditional Heteroscedastic Model。The Statistician,44(3),333-341。  new window
40.Sheng, H. C.、Tu, A. H.(2000)。A Study of Cointegration and Variance Decomposition among Equity Indices before and during the Period of the Asian Financial Crisis。Journal of Multinational Financial Management,10(3),345-365。  new window
41.Collins, D.、Biekpe, N.(2003)。Contagion: a fear for African equity markets?。Journal of Economics and Business,55(3),285-297。  new window
42.Forbes, Kristin J.、Rigobon, R.(2002)。No Contagion, Only Interdependence: Measuring Stock Market Comovements。Journal of Finance,57(5),2223-2261。  new window
43.Nagayasu, J.(2001)。Currency crisis and contagion: evidence from exchange rates and sectoral stock indices of the Philippines and Thailand。Journal of Asian Economics,12(4),529-546。  new window
44.Arshanapalli, B.、Doukas, J.(1993)。International stock market linkages: Evidence from the pre-and post-October 1987 period。Journal of Banking and Finance,17(1),193-208。  new window
45.Aggarwal, C.、Inclan, C.、Lean, R.(1999)。Volationity in Emerging Stock Markets。Journal of Finacical and Quantitative Analysis,34(1),33-55。  new window
46.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
47.Chiang, T. C.、Jeon, B. N.、Li, H.(2007)。Dynamic correlation analysis of financial contagion: evidence from Asian markets。Journal of International Money and Finance,26(7),1206-1228。  new window
48.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
49.沈中華、陳建福(20031200)。B股開放政策對中國大陸股票市場效率性有影響嗎?不對稱門檻共整合模型的應用。財務金融學刊,11(3),89-119。new window  延伸查詢new window
50.Koutmos, Gregory(1998)。Asymmetries in the Conditional Mean and the Conditional Variance: Evidence from Nine Stock Markets。Journal of Economics and Business,50(3),277-290。  new window
51.Balke, N. S.、Fomby, T. B.(1997)。Threshold Cointegration。International Economic Review,38(3),627-645。  new window
52.Enders, Walter、Siklos, Pierre L.(2001)。Cointegration and Threshold Adjustment。Journal of Business & Economic Statistics,19(2),166-176。  new window
53.Enders, W.、Granger, C. W. J.(1998)。Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates。Journal of Business and Economic Statistics,16(3),304-311。  new window
54.Eun, Cheol S.、Shim, Sangdal(1989)。International Transmission of Stock Market Movements。Journal of Financial and Quantitative Analysis,24(2),241-256。  new window
55.Johansen, Søren(1988)。Statistical Analysis of Cointegration Vectors。Journal of Economic Dynamics and Control,12(2/3),231-254。  new window
56.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
57.Bekaert, G.、Harvey, C. R.、Ng, A.(2005)。Market Integration and Contagion。Journal of Business,78(1),39-69。  new window
58.Caramazza, Francesco、Ricci, Luca、Salgado, Ranil(2004)。International financial contagion in currency crises。Journal of International Money and Finance,23(1),51-70。  new window
59.Dornbusch, Rudiger、Park, Yung Chul、Claessens, Stijn(2000)。Contagion: Understanding How It Spreads。The World Bank Research Observer,15(2),177-197。  new window
60.King, Mervyn A.、Wadhwani, Sushil(1990)。Transmission of Volatility between Stock Markets。The Review of Financial Studies,3(1),5-33。  new window
61.Lucey, M. B.、Voronkova, S.(2008)。Russian Equity Market Linkages before and after the 1998 Crisis: Evidence from Stochastic and Regime-Switching Cointegration Tests。Journal of International Money and Finance,27(5),1304-1324。  new window
62.Siklos, P.(2002)。Asymmetric Adjustment from Structural Booms and Slumps。Economics Letters,77(3),329-333。  new window
63.Lee, S. B.、Kim, K. J.(1993)。Does the October 1987 Crahs Strengthen the Co-Movements among National Stock Markets?。Review of Financial Economics,3(1),333-341。  new window
研究報告
1.Gorton, G. B.(2008)。The Subprime Panic。National Bureau of Economic Research。  new window
圖書
1.Tong, H.(1983)。Threshold Models in Non-Linear Time Series Analysis。Springer-Verlag。  new window
2.Tong, H.(1990)。Non-Linear Times Series: a Dynamical Approach。Oxford, U.K.:Oxford University Press。  new window
圖書論文
1.Forbes, K. J.、Rigobon, R.(2001)。Measuring contagion: Conceptual and empirical Issues。International Financial Contagion。Kluwer Academic Publishers。  new window
 
 
 
 
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