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題名:多重結構變動下恐慌指標與國際油價的動態關係
書刊名:應用經濟論叢
作者:蔡維林正寶陳芳質
作者(外文):Tsai, WeiLin, Jeng-bauChen, Fang-chin
出版日期:2019
卷期:106
頁次:頁147-177
主題關鍵詞:多重結構變動恐慌指標逐步程序檢定法國際政經事件短線投機價差Multiple structural changesFear gaugeSequential procedure methodsGlobal political and economic eventsShort-term speculation spread
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(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:0
  • 點閱點閱:0
期刊論文
1.Miller, J. Isaac、Ratti, Ronald A.(2009)。Crude Oil and Stock Markets: Stability, Instability, and Bubbles。Energy Economics,31(4),559-568。  new window
2.Fan, Ying、Xu, Jin-Hua(2011)。What Has Driven Oil Prices Since 2000? A Structural Change Perspective。Energy Economics,33(6),1082-1094。  new window
3.Sari, R.、Hammoudeh, S.、Soytas, U.(2010)。Dynamics of Oil Price, Precious Metal Prices, and Exchange Rate。Energy Economics,32(2),351-362。  new window
4.Andrews, Donald W. K.(1993)。Tests for Parameter Instability and Structural Change with Unknown Change Point。Econometrica: Journal of the Econometric Society,61(4),821-856。  new window
5.Atkins, Frank J.、Coe, Patrick J.(2002)。An ARDL Bounds Test of the Long-Run Fisher Effect in the United States and Canada。Journal of Macroeconomics,24(2),255-266。  new window
6.Kang, S. H.、Kang, S. M.、Yoon, S. M.(2009)。Forecasting volatility of crude oil markets。Energy Economics,31(1),119-125。  new window
7.Chow, Gregory C.(1960)。Tests of Equality between Sets of Coefficients in Two Linear Regressions。Econometrica: Journal of the Econometric Society,28(3),591-605。  new window
8.Perron, P.(1997)。Further Evidence on Breaking Trend Functions in Macroeconomic Variables。Journal of Econometrics,80(2),355-385。  new window
9.Lee, J.、Strazicich, M. C.(2003)。Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks。The Review of Economics and Statistics,85(4),1082-1089。  new window
10.Gregory, A. W.、Hansen, B. E.(1996)。Residual-based tests for cointegration in models with regime shifts。Journal of Econometrics,70(1),99-126。  new window
11.Yao, Y. C.(1988)。Estimating the Number of Change-Points via Schwarz' Criterion。Statistics and Probability Letters,6,181-189。  new window
12.Malik, F.、Ewing, B. T.(2009)。Volatility transmission between oil prices and equity sector returns。International Review of Financial Analysis,18,95-100。  new window
13.Bai, Jushan、Perron, Pierre(2003)。Critical values for multiple structural change tests。The Econometrics Journal,6(1),72-78。  new window
14.Basher, Syed Abul、Sadorsky, Perry(2016)。Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH。Energy Economics,54,235-247。  new window
15.Liu, M.-L.、Ji, Q.、Fan, Y.(2013)。How does oil market uncertainty interact with other markets? An empirical analysis of implied volatility index。Energy,55(15),860-868。  new window
16.Bai, Jushan、Perron, Pierre(1998)。Estimating and Testing Linear Models with Multiple Structural Changes。Econometrica,66(1),47-78。  new window
17.Bai, Jushan、Perron, Pierre(2003)。Computation and Analysis of Multiple Structural Change Models。Journal of Applied Econometrics,18(1),1-22。  new window
18.Aboura, S.、Chevallier, J.(2013)。Leverage vs. Feedback: Which Effect Drives the Oil Market?。Finance Research Letters,10,131-141。  new window
19.Andrada-Félix, J.、Fernández-Pérez, A.、Sosvilla-Rivero, S.(2018)。Fear Connectedness among Asset Classes。Applied Economics,50,4234-4239。  new window
20.Chen, Y.、He, K.、Yu, L.(2015)。The Information Content of OVX for Crude Oil Returns Analysis and Risk Measurement: Evidence from the Kalman Filter Model。Annals of Data Science,2,471-487。  new window
21.Chen, Y.、Zou, Y.(2015)。Examination on the Relationship between OVX and Crude Oil Price with Kalman Filter。Procedia Computer Science,55,1359-1365。  new window
22.Davig, Troy(2004)。Regime-switching Debt and Taxation。Journal of Monetary Economics,51,837-859。  new window
23.Dutta, A.(2018)。Oil and Energy Sector Stock Markets: An Analysis of Implied Volatility Indexes。Journal of Multinational Financial Management,44,61-68。  new window
24.Dutta, A.、Nikkinen, J.、Rothovius, T.(2017)。Impact of Oil Price Uncertainty on Middle East and African Stock Markets。Energy,123,189-197。  new window
25.Ewing, B. T.、Malik, F.(2016)。Volatility Spillovers between Oil Prices and the Stock Market under Structural Breaks。Global Finance Journal,29,12-23。  new window
26.Haugom, E.、Langeland, H.、Molnár, P.、Westgaard, S.(2014)。Forecasting Volatility of the US Oil Market。Journal of Banking & Finance,47,1-14。  new window
27.Ji, Q.、Fan, Y.(2016)。Modelling the Joint Dynamics of Oil Prices and Investor Fear Gauge。Research in International Business and Finance,37,242-251。  new window
28.Jin, H. J.、Miljkovic, D.(2010)。An Analysis of Multiple Structural Breaks in US Relative Farm Prices。Applied Economics,42,3253-3265。  new window
29.Liu, Jian、Wu, Shiying、Zidek, James V.(19970400)。On Segmented Multivariate Regression。Statistica Sinica,7(2),497-525。  new window
30.Maghyereh, A. I.、Awartani, B.、Bouri, E.(2016)。The Directional Volatility Connectedness between Crude Oil and Equity Markets: New Evidence from Implied Volatility Indexes。Energy Economics,57,78-93。  new window
31.Sims, C. A.、Zha, T.(2006)。Were there regime switches in U.S. monetary policy?。American Economic Review,96(1),54-81。  new window
32.Zeileis, A.、Kleiber, C.、Krämer, W.、Hornik, K.(2003)。Testing and Dating of Structural Changes in Practice。Computational Statistics & Data Analysis,44,109-123。  new window
33.Zhou, Y.(2014)。Modeling the Joint Dynamics of Risk-neutral Stock Index and Bond Yield Volatilities。Journal of Banking & Finance,38,216-228。  new window
34.Zivot, E.、Andrews, D. W. K.(2002)。Further Evidence on the Great Crash, the Oil-price shock, and the Unit-root Hypothesis。Journal of Business and Economic Statistics,20,25-44。  new window
35.李瑞琳、朱香蕙、劉榮芳、林益倍(20141200)。Threshold Cointegration and Dynamics of Crude Oil Futures Volatility and Financial Speculation。應用經濟論叢,96,1-34。new window  延伸查詢new window
36.Quandt, R. E.(1958)。The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes。Journal of the American Statistical Association,53(284),873-880。  new window
37.Pesaran, M. Hashem、Shin, Yongcheol、Smith, Richard J.(2001)。Bounds testing approaches to the analysis of level relationships。Journal of Applied Econometrics,16(3),289-326。  new window
38.Lumsdaine, Robin L.、Papell, David H.(1997)。Multiple Trend Breaks and the Unit-root Hypothesis。The Review of Economics and Statistics,79(2),212-218。  new window
39.Perron, Pierre(1989)。The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis。Econometrica: Journal of the Econometric Society,57(6),1361-1401。  new window
40.Phillips, Peter C. B.、Perron, Pierre(1988)。Testing for a unit root in time series regression。Biometrika,75(2),335-346。  new window
41.Said, S. E.、Dickey, David A.(1984)。Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order。Biometrika,71(3),599-607。  new window
會議論文
1.Hu, J. W. S.、Chang, H. Y.(2015)。Elucidating the Relationship among Volatility Index, US Dollar Index and Oil Price。The 7th Annual American Business Research Conference。New York。  new window
研究報告
1.Bakanova, A.(2010)。The Information Content of Implied Volatility in the Crude Oil Market。University of Lugano and Swiss Finance Institute。  new window
2.Olofin, S.、Salisu, A. A.(2017)。Modelling Oil Price-inflation Nexus: The Role of Asymmetries and Structural Breaks。Centre for Econometric and Allied Research, University of Ibadan。  new window
3.Wahab, F. F.、Masih, M.(2017)。Discerning Lead-lag between Fear Index and Realized Volatility。Munich University Library。  new window
圖書
1.Pesaran, M. H.、Pesaran, B.(1997)。Working with Microfit 4.0: Interactive Econometric Analysis。Oxford:Oxford University Press。  new window
其他
1.中華民國經濟部能源局(1968)。國際原油價格之變遷,https://www.moeaboe.gov.tw/ECW/populace/content/SubMenu.aspx?menu_id=1973。  延伸查詢new window
 
 
 
 
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