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題名:The Effects of an Asymmetric Momentum Threshold on the Basis Volatility--Tranquil versus Turbulent Periods
書刊名:證券市場發展季刊
作者:古永嘉侍安宇 引用關係
作者(外文):Goo, Yeong-jiaShih, An-yu
出版日期:2018
卷期:30:3=119
頁次:頁75-96
主題關鍵詞:基差波動度不對稱效果混合動能門檻自我迴歸模型BasisVolatilityAsymmetric effectHMTAR-GARCH model
原始連結:連回原系統網址new window
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期刊論文
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7.Hentschel, L.(1995)。All in the Family Nesting Symmetric and Asymmetric GARCH Models。Journal of Financial Economics,39(1),71-104。  new window
8.Chan, K.(1992)。A further analysis of the lead-lag relationship between the cash market and stock index futures market。Review of Financial Studies,5(1),123-152。  new window
9.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
10.Kawaller, I. G.、Koch, P. D.、Koch, T. W.(1987)。The temporal price relationship between S&P 500 futures and the S&P 500 index。The Journal of Finance,42(5),1309-1329。  new window
11.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
12.Carchano, Ó.、Pardo, Á.(2009)。Rolling over Stock Index Futures Contracts。Journal of Futures Markets,29(7),684-694。  new window
13.Berndt, E.、Hall, B.、Hall, R.、Hausman, J.(1974)。Estimation and Inference in Nonlinear Structural Models。Annals of Economic and Social Measurement,3,653-665。  new window
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15.Ali, G.(2013)。EGARCH, GJR-GARCH, TGARCH, AVGARCH, NGARCH, IGARCH and APARCH Models for Pathogens at Marine Recreational Sites。Journal of Statistical and Econometric Methods,2(3),57-73。  new window
16.Chatrath, A.、Christie-David, R.、Dhanda, K.、Koch, T.(2002)。Index Futures Leadership, Basis Behavior, and Trader Selectivity。Journal of Futures Markets,22(7),649-677。  new window
17.Chang, K. L.(2012)。Volatility Regimes , Asymmetric Basis Effects and Forecasting Performance: An Empirical Investigation of the WTI Crude Oil Futures Market。Energy Economics,34(1),294-306。  new window
18.Kang, S. H.、Yoon, S. M.(2013)。Revisited Return and Volatility Spillover Effect in Korea。Korea and the World Economy,14(1),121-145。  new window
19.Gao, A.、Wang, G.(2005)。Asymmetric Volatility of Basis and the Theory of Storage。Journal of Futures Markets,25(4),399-418。  new window
20.Kogan, L.、Livdan, D.、Yaron, A.(2009)。Oil Futures Prices in a Production Economy with Investment Constraints。Journal of Finance,64(3),1345-1375。  new window
21.Ng, V. K.、Pirrong, S. C.(1994)。Fundamentals and Volatility: Storage, Spreads and Dynamics of Metal Prices。Journal of Business,62(2),203-230。  new window
22.McMillan, D. G.、Ülkü, N.(2009)。Persistent Mispricing in a Recently Opened Emerging Index Futures Market: Arbitrageurs Invited。Journal of Futures Markets,29(3),218-243。  new window
23.Milonas, N. T.、Henker, T.(2001)。Price Spread and Convenience Yield Behaviour in the International Oil Market。Applied Financial Economics,11,23-36。  new window
24.Miller, M. H.、Muthuswamy, J.、Whaley, R. E.(1994)。Mean Reversion of Standard & Poor's 500 Index Basis Change: Arbitrage-Induced or Statistical Illusion。Journal of Finance,49(2),479-513。  new window
25.Yang, J.、Yang, Z.、Zhou, Y.(2012)。Intraday Price Discovery and Volatility Transmission in Stock Index and Stock Index Futures Markets。Journal of Futures Markets,32(2),99-121。  new window
26.Xie, S.、Mo, T.(2014)。Index Futures Trading and Stock Market Volatility in China: a Difference-in-Difference Approach。Journal of Futures Markets,34(3),282-297。  new window
27.Sjölander, P.(2013)。A Ridge Bootstrap Method for Analyzing APT Effects on the Mortgage Loan Market。Economic Modelling,30,844-855。  new window
28.Dickey, David A.、Fuller, Wayne A.(1981)。Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root。Econometrica: journal of the Econometric Society,49(4),1057-1072。  new window
29.Kapetanios, George、Shin, Yongcheol、Snell, Andy(2003)。Testing for a unit root in the nonlinear STAR framework。Journal of Econometrics,112(2),359-379。  new window
30.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
31.Phillips, Peter C. B.、Perron, Pierre(1988)。Testing for a unit root in time series regression。Biometrika,75(2),335-346。  new window
32.Fama, E. F.、French, K. R.(1988)。Business Cycles and the Behavior of Metals Prices。Journal of Finance,43(5),1075-1093。  new window
33.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
圖書
1.Enders, W.(2015)。Applied Econometric Time Series。New York, NY:John Wiley and Sons。  new window
 
 
 
 
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