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題名:以ECM、M-GARCH、門檻M-GARCH評估鎳金屬商品期貨契約與NTD/USD遠匯避險績效
書刊名:證券市場發展季刊
作者:蘇恩德 引用關係
作者(外文):Su, En-der
出版日期:2013
卷期:25:3=99
頁次:頁173-220
主題關鍵詞:誤差修正模型M-GARCH模型門檻M-GARCH模型避險比率避險績效Error correction modelThreshold M-GARCHHedge costHedge ratioHedge performance
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(1) 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:1
  • 共同引用共同引用:1
  • 點閱點閱:38
期刊論文
1.林筠、傅鍾仁(19930400)。我國進口油價風險管理之研究--原油期貨交叉避險。證券市場發展,18,42-56。new window  延伸查詢new window
2.Alizadeh, A. H.、Nomikos, N. K.、Pouliasis, P. K.(2008)。A Markov Regime Switching Approach for Hedging Energy Commodities。Journal of Banking and Finance,32(9),1970-1983。  new window
3.Babula, R. A.、Ruppel, F. J.、Bessler, D. A.(1995)。Com Exports: The Role of the Exchange Rate。Agricultural Economics,13,75-88。  new window
4.De Ville De Goyet, C.、Dhaene, G.、Sercu, P.(2008)。Testing the Martingale Hypothesis for Futures Prices: Implications for Hedgers。Journal of Futures Markets,28,1040-1065。  new window
5.Frechette, D. L.(2000)。The Demand for Hedging and the Value of Hedging Opportunities。American Journal of Agricultural Economics,82(4),897-907。  new window
6.Fung, H. G.、Lai, G. C.(1991)。Forward Market and International Trade。Southern Economic Journal,57,982-992。  new window
7.Haigh, M. S.、Holt, M. T.(2000)。Hedging Multiple Price Uncertainty in International Grain Trade。American Journal of Agricultural Economics,82(4),881-896。  new window
8.Haigh, M. S.、Holt, M. T.(2002)。Hedging Foreign Currency, Freight and Commodity Futures Portfolios-A Note。The Journal of Futures Markets,22(12),1205-1221。  new window
9.Heifner, R. G.(1972)。Optimal Hedging Levels and Hedging Effectiveness in Cattle Feeding。Agricultural Economic Research,24,25-36。  new window
10.Howard, Charles T.、D'Antonio, L. J.(1984)。A Risk-Retum Measure of Hedging Effectiveness。Journal of Financial and Quantitative Analysis,19(1),101-112。  new window
11.Jamaleh, A.、Venezia, G.(2001)。Threshold Model for Italian Stock Market Volatility。Revista Politica Economia,91(2),79-132。  new window
12.Jin, H.J.、Koo, W. W.(2006)。Offshore Hedging Strategy of Japan-based Wheat Traders under Multiple Sources of Risk and Hedging Costs。Journal of International Money and Finance,25(2),220-236。  new window
13.Koutmos, G.、Pericli, A.(1998)。Dynamic Hedging of Commercial Paper with T-bill Futures。Journal of Futures Markets,18(8),925-938。  new window
14.Lence, S. H.(1995)。The Economic Value of Minimum-variance Hedges。American Journal of Agricultural Economics,77(2),353-364。  new window
15.Lien, D.(2005)。A Note on the Superiority of the OLS Hedge Ratio。Journal of Futures Markets,11,1121-1126。  new window
16.Lien, Donald、Yang, Li(2008)。Asymmetric Effect of Basis on Dynamic Futures Hedging: Empirical Evidence from Commodity Markets。Journal of Banking and Finance,32(2),187-198。  new window
17.Liu, K, E.、Geaun, J.、Lei, L. F.(2001)。Optimal Hedging Decisions for Taiwanese Com Traders on the Way of Liberalization。Agricultural Economics,25,303-309。  new window
18.Moschini, G.、Myers, R.(2002)。Testing for Constant Hedge Ratios in Commodity Markets: A Multivariate GARCH Approach。Journal of Empirical Finance,9,589-603。  new window
19.Park, H. Y.、Bera, A. K.(1987)。Interest Rate Volatility, Basis, and Heteroscedasticity in Hedging Mortgages。The American Real Estate and Urban Economics Association,15,79-97。  new window
20.Poomimars, P.、Cadle, J.、Theobald, M.(2003)。Futures Hedging Using Dynamic Models of the Variance/Covariance Structure。Journal of Futures Markets,23(3),241-260。  new window
21.Thompson, S.、Bond, G.(1987)。Offshore Commodity Hedging under Floating Exchange Rates。American Journal of Agricultural Economics,69,46-55。  new window
22.Tong, H.、Lim, K.(1980)。Threshold Autoregression, Limit Cycles, and Cyclical Data。Journal of the Royal Statistical Society,42,245-292。  new window
23.Yun, W. C.、Kim, H. J.(2010)。Hedging Strategy for Crude Oil Trading and the Factors Influencing Hedging Effectiveness。Energy Policy,38(5),2404-2408。  new window
24.Working, H.(1962)。New Concepts Concerning Futures Markets and Prices。The American Economic Review,52(3),431-459。  new window
25.Pagan, A.(1996)。The Econometrics of Financial Markets。Journal of Empirical Finance,3(1),15-102。  new window
26.Harris, R. D. F.、Shen, J.(2003)。Robust Estimation of the Optimal Hedge Ratio。Journal of Futures Markets,23(8),799-816。  new window
27.Gagnon, L.、Lypny, G. J.、McCurdy, T. H.(1998)。Hedging Foreign Currency Portfolios。Journal of Empirical Finance,5,197-220。  new window
28.Ethier, W.(1973)。International Trade and the Forward Exchange Market。American Economic Review,63(3),494-503。  new window
29.Schwert, G. W.、Seguin, P. J.(1990)。Heteroskedasticity in Stock Return。Journal of Finance,45(4),1129-1156。  new window
30.Brenner, R. J.、Kroner, K. F.(1995)。Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets。Journal of Financial and Quantitative Analysis,30(1),23-42。  new window
31.Baillie, R. T.、Myers, R. J.(1991)。Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge。Journal of Applied Econometrics,6(2),109-124。  new window
32.Engle, R. F.(1982)。Autoregressive Conditional Heteroske- dasticity with Estimates of the Variance of U.K. Inflation。Econometrica,50(4),987-1008。  new window
33.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
34.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
35.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
36.Gray, S. F.(1996)。Modeling the Conditional Distribution of Interest Rates as a Regime Switching Process。Journal of Financial Economics,42(1),27-62。  new window
37.Engle, Robert F.、Kroner, Kenneth F.(1995)。Multivariate simultaneous generalized arch。Econometric Theory,11(1),122-150。  new window
38.Lien, D. H. D.、Tse, Y. K.(1999)。Fractional Cointegration and Futures Hedging。Journal of Futures Markets,19(4),457-474。  new window
39.Hansen, B. E.(1996)。Inference when a nuisance parameter is not identified under the null hypothesis。Econometrica: Journal of the econometric society,64(2),413-430。  new window
40.Ljung, Greta M.、Box, George E. P.(1978)。On a Measure of Lack of Fit in Time Series Models。Biometrika,65(2),297-303。  new window
41.Markowitz, Harry M.(1952)。Portfolio Selection。The Journal of Finance,7(1),77-91。  new window
42.Johansen, Søren、Juselius, Katarina(1990)。Maximum Likelihood Estimation and Inference on Cointegration: with Applications to the Demand for Money。Oxford Bulletin of Economics and Statistics,52(2),169-210。  new window
43.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
44.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
45.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
46.Ederington, Louis H.(1979)。The Hedging Performance of the New Futures Markets。Journal of Finance,34(1),157-170。  new window
47.Johnson, Leland L.(1960)。The Theory of Hedging and Speculation in Commodity Futures。The Review of Economic Studies,27(3),139-151。  new window
48.Kroner, Kenneth F.、Sultan, Jahangir(1993)。Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures。Journal of Financial and Quantitative Analysis,28(4),535-551。  new window
49.Stein, Jerome L.(1961)。The Simultaneous Determination of Spot and Futures Prices。American Economic Review,51(5),1012-1025。  new window
50.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
研究報告
1.Patton, A. J.(2001)。Modelling Time-varying Exchange Rate Dependence Using the Conditional Copula。University of California San Diego, Department of Economic。  new window
學位論文
1.李宏榮(2006)。倫敦金屬交易所鎳金屬商品期貨契約避險績效評估(碩士論文)。國立高雄第一科技大學。  延伸查詢new window
 
 
 
 
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