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題名:東亞主要新興經濟體匯率變動率波動與共變程度之實證分析
書刊名:中央銀行季刊
作者:彭德明
出版日期:2013
卷期:35:3
頁次:頁3-36
主題關鍵詞:匯率變動率匯率波動共變程度
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(1) 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:57
期刊論文
1.彭德明(20121200)。最適通貨區域理論及其對歐洲債務危機的啟示--兼論布魯塞爾共識。國際金融參考資料,64,1-26。new window  延伸查詢new window
2.王春源、王昭偉(20111200)。中、日、韓三國外匯市場之共同波動、聯合干預及溢出效果。南亞學報,31,325-344。  延伸查詢new window
3.Ariefianto, D.、Warjiyo, P.(2010)。Co-movement 4 Period ASEAN Currency 1997-2005: A Theory Application Namely Optimal Currency Area Using Vector Error Correction Model。Bulletin of Monetary, Economics and Banking,12(4),447-480。  new window
4.Calvet, L.、Fisher, A.、Thompson, S.(2006)。Volatility Comovement: A Multifrequency Approach。Journal of Econometrics,131,179-215。  new window
5.Chung, C.(2006)。Characterizing Comovement of the Won with the Yen Before and After the Currency Crisis。Korea Review of International Studies,9(2)。  new window
6.Ding, Zhuanxin、Engle, Robert F.(20010600)。Large Scale Conditional Covariance Matrix Modeling, Estimation and Testing。經濟論文,29(2),157-184。  new window
7.Bauwens, L.、Laurent, S.、Rombouts, J.(2006)。Multivariate GARCH models: A survey。Journal of Applied Econometrics,21,79-109。  new window
8.Engle, Robert F.、Kroner, Kenneth F.(1995)。Multivariate simultaneous generalized arch。Econometric Theory,11(1),122-150。  new window
9.Engle, Robert F.、Ng, Victor K.(1993)。Measuring and testing the impact of news on volatility。The Journal of Finance,48(5),1749-1778。  new window
10.Bollerslev, Tim、Engle, Robert F.、Wooldridge, Jeffrey M.(1988)。A Capital Asset Pricing Model with Time-Varying Covariances。Journal of Political Economy,96(1),116-131。  new window
11.Bollerslev, Tim(1990)。Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model。The Review of Economics and Statistics,72(3),498-505。  new window
12.Glosten, Lawrence R.、Jagannathan, Ravi、Runkle, David E.(1993)。On the Relation Between the Expected Value and the Volatility on the Nominal Excess Returns on Stocks。Journal of Finance,48(5),1779-1801。  new window
研究報告
1.Antonakakis, N.(2012)。Exchange Return Co-movements and Volatility Spillovers before and after the Introduction of Euro。Research Centre International Economics。  new window
2.Kühl, M.(2008)。Strong Comovements of Exchange Rates: Theoretical and Empirical Cases When Currencies Become the Same Assets。Center for European, Governance and Economic Development Research。  new window
3.Kawai, M.(2007)。Toward a Regional Exchange Rate Regime in East Asia。Asian Development Bank Institute。  new window
4.Javed, F.、Mantalos, P.(2011)。GARCH-Type Models and Performance of Information Criteria。Department of Statistics, Lund University。  new window
5.Baba, Y.、Engle, R.、Kraft, D.、Kroner, K.(1991)。Multivariate Simultaneous Generalized ARCH。San Diego:Department of Economics, University of California。  new window
圖書
1.Taylor, S.(2007)。Asset Price Dynamics, Volatility, and Prediction。Princeton University Press。  new window
2.Silvennoinen, A.、Teräsvirta, T.(2009)。Multivariate GARCH Models。Handbook of Financial Time Series。Springer。  new window
3.Enders, W.(2010)。Applied Econometric Time Series。Wiley & Sons Inc。  new window
單篇論文
1.彭德明(2011)。亞元與東亞金融合作--兼論人民幣國際化的動向,中央銀行。  延伸查詢new window
其他
1.胡曉煉(20100728)。匯率機制改革和生產要素價格調整可並行不悖。  延伸查詢new window
 
 
 
 
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