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題名:Asymmetric and Dynamic Relatedness Analysis of the Taiwan and the Japan Stock Markets Return Volatility: An Application of the Bivariate GJR-GARCH Model
書刊名:數據分析
作者:洪萬吉黃明棋
作者(外文):Horng, Wann-jyiHuang, Ming-chi
出版日期:2008
卷期:3:3
頁次:頁71-93
主題關鍵詞:股票市場報酬東京日經225股價指數臺灣加權股價指數双變量GJR-GARCH模型動態條件相關不對稱效果Stock market returnsNK-225 indexTaiwan weighted stock price indexBivariate GJR-GARCH modelDynamic conditional correlationAsymmetrical effect
原始連結:連回原系統網址new window
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期刊論文
1.Yang, S. Y.(2005)。A DCC analysis of international stock market correlations: the role of Japan on the Asian Four Tigers。Applied Financial Economics Letters,1(2),89-93。  new window
2.Johansen, S.(1991)。Estimation and Hypotheses in Testing of Cointegration Vector in Gaussian Vector Autoregressive Model。Econometrica,59,1551-1580。  new window
3.Poon, W. P. H.、Fung, H. G.(2001)。Redchips or H shares: Which China-backed securities process information the fastest?。Journal of Multinational Financial Management,10,315-343。  new window
4.Nieh, C. C.、Lee, C. F.(2001)。Dynamic Relationship Between Stock Prices and Exchange Rates for G-7 Countries。Quarterly Review of Economics and Finance,41(4),477-490。  new window
5.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
6.Dickey, D. A.、Fuller, W. A.(1979)。Distribution of Estimators for Time Series Regressions with a Unit Root。Journal of the American Statistical Association,74,427-431。  new window
7.Christie, A. A.(1982)。The Stochastic Behavior of Common Stock Variance: Value, Leverage and Interest Rate Effects。Journal of Financial Economics,10(4),407-432。  new window
8.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
9.French, Kenneth R.、Schwert, G. William、Stambaugh, Robert F.(1987)。Expected stock returns and volatility。Journal of Financial Economics,19(1),3-29。  new window
10.Koutmos, Gregory、Booth, G. Geoffrey(1995)。Asymmetric Volatility Transmission in International Stock Markets。Journal of International Money and Finance,14(6),747-762。  new window
11.Koutmos, G.(1996)。Modeling the Dynamic Interdependence of Major European Stock Markets。Journal of Business Finance & Accounting,23(7),975-988。  new window
12.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
13.Nelson, D. B.(1990)。Stationarity and Persistence in the GARCH(1,1) Model。Econometric Theory,6(3),318-334。  new window
14.Nelson, D. B.(1991)。Conditional Heteroscedasticity in Asset Returns: A New Approach。Econometrica,59,347-370。  new window
15.Granger, C. W.、Hung, J. B.、Yang, C. W.(2000)。A bivariate causality between stock prices and exchange rtes: evidence from recent Asian Flu。The Quarterly Review of Economics and Finance,40,337-354。  new window
16.Tse, Y. K.、Tsui, Albert K. C.(2002)。A multivariate GARCH model with time-varying correlations。Journal of Business & Economic Statistics,20(3),351-362。  new window
17.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
18.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
19.Campbell, John Y.、Hentschel, Ludger(1992)。No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns。Journal of Financial Economics,31(3),281-318。  new window
20.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
21.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
會議論文
1.Akaike, H.(1973)。Information Theory and an Extension of the Maximum Likelihood Principle。2nd International Symposium on Information Theory。Budapest:Akademiai Kiado。267-281。  new window
研究報告
1.Wang, K. L.、Barrett, C. B.(2002)。A new look at the trade volume effects of real exchange rate risk。Cornell University。  new window
圖書
1.Tsay, R. S.(2004)。Analysis of Financial Time Series。New York:John Wiley & Sons, Inc。  new window
 
 
 
 
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