:::

詳目顯示

回上一頁
題名:外資成交金額波動對臺灣股票市場報酬之衝擊:Student's t分配與雙門檻-GARCH模型之應用
書刊名:數據分析
作者:洪萬吉鄭文傑
作者(外文):Horng, Wann-jyiJheng, Wun-jie
出版日期:2007
卷期:2:5
頁次:頁1-18
主題關鍵詞:股票報酬不對稱效果雙門檻-GARCHStudent's t分配Stock returnGARCHGJR-GARCHAsymmetrical effectThreshold-GARCHStudent's t distribution
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(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:23
  • 點閱點閱:2
期刊論文
1.田慧琦(19990100)。外資買賣對短期市場之衝擊與長期績效。證交資料,441,13-19。  延伸查詢new window
2.Poon, W. P. H.、Fung, H. G.(2000)。Red chips or H shares: which China-backed securities process information the fastest?。Journal of Multinational Financial Management,10,315-343。  new window
3.李光輝、歐興祥、張炳耀(20001200)。外資與我國股市互動關係之探討。中央銀行季刊,22(4),67-79。new window  延伸查詢new window
4.游智賢、賴育志(1999)。外資資訊領先地位之探討。中國財務學刊,7(3),1-26。new window  延伸查詢new window
5.姜淑美、鄭婉秀、邱建良(2003)。外資交易行為、股市及匯市動態關係之研究。風險管理學報,15(1),45-64。  延伸查詢new window
6.徐清俊、林柏宇(2003)。金融控股公司股價報酬波動性之實證研究。遠東學報,20(4),753-770。  延伸查詢new window
7.Schwert, G. W.(1990)。Stock Volatility and the Crash of 1987。The Review of Financial Studies,3,77-102。  new window
8.邱建良、李命志、徐泰瑋(19990600)。臺灣股市報酬率波動性行為之探討。臺灣經濟金融月刊,35(6)=413,43-53。  延伸查詢new window
9.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
10.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
11.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
12.Fama, Eugene F.(1991)。Efficient Capital Markets。Journal of Finance,46(5),1575-1617。  new window
13.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
14.Koutmos, G.(1996)。Modeling the Dynamic Interdependence of Major European Stock Markets。Journal of Business Finance & Accounting,23(7),975-988。  new window
15.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
16.Nelson, D. B.(1990)。Stationarity and Persistence in the GARCH(1,1) Model。Econometric Theory,6(3),318-334。  new window
17.Nelson, D. B.(1991)。Conditional Heteroscedasticity in Asset Returns: A New Approach。Econometrica,59,347-370。  new window
18.Tsay, Ruey S.(1989)。Testing and Modeling Threshold Autoregressive Processes。Journal of the American Statistical Association,84(405),231-240。  new window
19.Wang, L. R.、Shen, C. H.(1999)。Do foreign investments affect foreign exchange and stock markets: the case of Taiwan。Applied Economics,31(11),1303-1314。  new window
20.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
21.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
22.Phillips, Peter C. B.、Perron, Pierre(1988)。Testing for a unit root in time series regression。Biometrika,75(2),335-346。  new window
23.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
24.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
25.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。The Second International Symposium on Information Theory。Budapest:Akademiai Kiado。267-281。  new window
2.林楚雄、劉維琪、吳欽杉(1999)。GJR 與Volatility-Switching GARCH模型的比較:臺灣股票市場條件波動不對稱性的研究。1999年會暨財務金融學術論文研討會。中國財務學會。  延伸查詢new window
學位論文
1.江淑玲(2002)。外資是否主導亞太地區股市、匯市??(碩士論文)。輔仁大學。  延伸查詢new window
2.楊啟宏(1998)。外資買賣超資訊對對個股股價之影響--臺灣股票市場之實證研究(碩士論文)。國立臺灣大學。  延伸查詢new window
3.黃于珍(1999)。外資交易行為對台灣股市之影響(碩士論文)。輔仁大學。  延伸查詢new window
圖書
1.Tsay, Ruey S.(2002)。Analysis of Financial Time Series。New York:John Wiley & Sons。  new window
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
:::
無相關書籍
 
無相關著作
 
無相關點閱
 
QR Code
QRCODE