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題名:Dynamic Associated Analysis of Hong-Kong and Japan Stock Market Returns' Volatility: Application of Bivariate Asymmetric-GARCH Model
書刊名:數據分析
作者:許鎦響洪萬吉許蕙心
作者(外文):Hsu, Liu-hsiangHorng, Wann-jyiHsu, Hui-hsin
出版日期:2010
卷期:5:5
頁次:頁25-44
主題關鍵詞:股票市場報酬Student's t分佈動態條件相關雙變量不對稱GARCH模型Stock market returnsStudent's t distributionDynamic conditional correlationBivariate asymmetric-GARCH model
原始連結:連回原系統網址new window
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期刊論文
1.Engle, R.(2002)。Dynamic Conditional Correlation A Simple Class of Multivariate GRCH Models。Journal of Business and Economic Statistics,20,339-350。  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.Berndt, E. K.、Hall, B. H.、Hall, R. E.、Hausman, J. A.(1974)。Estimation and Inference in nonlinear Structural Models。Annals of Economic and Social Measurement,3(4),653-665。  new window
5.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
6.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
7.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
8.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
9.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
10.Koutmos, G.(1996)。Modeling the Dynamic Interdependence of Major European Stock Markets。Journal of Business Finance & Accounting,23(7),975-988。  new window
11.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
12.Nelson, D. B.(1990)。Stationarity and Persistence in the GARCH(1,1) Model。Econometric Theory,6(3),318-334。  new window
13.Nelson, D. B.(1991)。Conditional Heteroscedasticity in Asset Returns: A New Approach。Econometrica,59,347-370。  new window
14.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
15.Granger, C. W.、Hung, J. B.、Yang, C. W.(2000)。A bivariate causality between stock prices and exchange rates: evidence from recent Asian Flu。The Quarterly Review of Economics and Finance,40,337-354。  new window
16.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
17.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
18.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
19.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
20.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
研究報告
1.Yang, S. Y.(2003)。Price and volatility spillovers between stock prices and exchange rates: empirical evidence from the G-7 countries。National Chung Hsing University。  new window
2.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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