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題名:Volatility Dynamics in the Returns of Commodity Exchange-Traded Notes (ETNs)
書刊名:期貨與選擇權學刊
作者:陳若暉 引用關係狄強
作者(外文):Chen, Jo-huiDiaz, John Francis T.
出版日期:2016
卷期:9:2
頁次:頁93-136
主題關鍵詞:期貨指數交易型債券動態波動MGARCH模型Commodity ETNsVolatility dynamicsMGARCH models
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:0
  • 點閱點閱:11
期刊論文
1.Guedj, I.、Li, G.、McCann, C.(2011)。Futures-based commodity ETFs。Journal of Index Investing,2(1),14-24。  new window
2.Karolyi, G.(1995)。A multivariate GARCH model for international transmissions of stock returns and volatilities: The case of the US and Canada。Journal of Business and Economic Statistics,13,1-25。  new window
3.Bubak, V.、Kocenda, E.、Ikes, F.(2011)。Volatility transmission in emerging European foreign exchange markets。Journal of Banking and Finance,10,1-13。  new window
4.Caporin, M.、McAleer, M.(2008)。Scalar BEKK and indirect DCC。Journal of Forecasting,27,537-549。  new window
5.Hafner, C.、Herwartz, H.(2006)。Volatility impulse responses for MGARCH models: An exchange rate illustration。Journal of International Money and Finance,25,719-740。  new window
6.Kim, B.(2011)。Linkages between the US and Asia-Pacific exchange-traded funds (ETFs) markets: Evidence from the 2007-2008 global financial crisis。Asian Academy of Management Journal of Accounting and Finance,7(1),53-72。  new window
7.Lanza, A.、Manera, M.、McAleer, M.(2006)。Modeling dynamic conditional correlations in WTI oil forward and future returns。Finance Research Letters,3,114-132。  new window
8.Manera, M.、McAleer, M.、Grasso, M.(2006)。Modeling time-varying conditional correlations in the volatility of Tapis oil spot and forward returns。Applied Financial Economics,16,278-308。  new window
9.Du, X.、Yu, Cindy L.、Hayes, D. J.(2011)。Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis。Energy Economics,33(3),497-503。  new window
10.Ho, K.、Tsui, A.、Zhang, Z.(2009)。Volatility dynamics of the US business cycle: A multivariate asymmetric GARCH approach。Mathematics and Computers in Simulation,79,2856-2868。  new window
11.Li, W.、McLeod, A.(1981)。Distribution of the residual autocorrelation in multivariate ARMA time-series models。Journal of the Royal Statistical Society B,43,231-239。  new window
12.McAleer, M.(2005)。Automated inference and learning in modeling financial volatility。Econometric Theory,21,232-261。  new window
13.McAleer, M.、Chan, F.、Marinova, D.(2007)。An econometric analysis of asymmetric volatility: Theory and application to patents。Journal of Econometrics,139,259-284。  new window
14.Bauwens, L.、Laurent, S.、Rombouts, J. V. K.(2006)。Multivariate GARCH Models: A Survey。Journal of Applied Econometrics,21(1),79-109。  new window
15.Engle, R. F.(2002)。Dynamic conditional correlation: a simple class of multivariate GARCH models。Journal of Business and Economic Statistics,20(3),339-350。  new window
16.Chang, C.、McAleer, M.、Tansuchat, R.(2011)。Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH。Energy Economics,10,1-12。  new window
17.Darrat, A.、Zhong, M.(2002)。Permanent and Transitory Driving Forces in the Asian-Pacific Stock Market。The Financial Review,37(1),35-52。  new window
18.Fuss, R.、Zeno, K.、Dieter, G.(2010)。The Predictive Power of Valueat-Risk Models in Commodity Futures Markets。Journal of Asset Management,11(4),261-285。  new window
19.Lee, T. W.、Yang, W. P.(2014)。Granger-Causality in Quantiles between Financial Markets: Using Copula Approach。International Review of Financial Analysis,33,70-78。  new window
20.Fleming, J.、Kirby, C.、Ostdiek, B.(1998)。Information and Volatility Linkages in the Stock, Bond, and Money Markets。Journal of Financial Economics,49,111-137。  new window
21.Hosking, J. R. M.(1980)。The Multivariate Portmanteau Statistic。Journal of the American Statistical Association,75,602-608。  new window
22.Malliaropulos, D.(1997)。A multivariate GARCH model of risk premia in foreign exchange markets。Economic Modelling,14,61-79。  new window
23.Engle, Robert F.、Kroner, Kenneth F.(1995)。Multivariate simultaneous generalized arch。Econometric Theory,11(1),122-150。  new window
24.Markowitz, Harry M.(1952)。Portfolio Selection。The Journal of Finance,7(1),77-91。  new window
25.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
26.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
研究報告
1.Engle, R. F.、Sheppard, K.(2001)。Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH。San Diego:University of California。  new window
2.Barari, M.、Lucey, B.、Voronkova, S.(2006)。Re-assessing Comovements among G7 Equity Markets: Evidence from iShares (計畫編號:WP 06-01)。Manchester:Manchester Metropolitan University。  new window
圖書
1.Enders, Walter(2004)。Applied Econometric Time Series。New York:John Wiley & Sons。  new window
其他
1.Caporin, M.,McAleer, M.(2009)。Do we really need both BEKK and DCC? A tale of two covariance models,http://ssrn.com/abstract=1338190, 2009/02/05。  new window
 
 
 
 
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