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題名:The Impact of the Return Rates' Volatility of the U.S. and U.K. for the Hong Kong Stock Market Returns: Using the Double Variables Threshold-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:2011
卷期:6:2
頁次:頁67-86
主題關鍵詞:雙變數門檻-GRACH股價報酬率不對稱效果Double variables threshold-GARCHGARCHGJR-GARCHStock price return rateAsymmetrical effect
原始連結:連回原系統網址new window
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期刊論文
1.Brooks, C.(2001)。A Double-Threshold GARCH Model for the French Franc/Deutschmark Exchange Rate。Journal of Forecasting,20,135-143。  new window
2.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
3.Berndt, Ernst R.、Hall, Bronwyn H.、Hall, Robert E.、Hausman, Jerry A.(1974)。Estimation and Inference in Nonlinear Structural Models。Annals of Economic and Social Measurement,3(4),653-665。  new window
4.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
5.Schwert, G. W.(1990)。Stock Volatility and the Crash of 1987。The Review of Financial Studies,3,77-102。  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.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
15.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
16.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
17.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.Tsay, R. S.(2004)。Analysis of Financial Time Series。New York:John Wiley & Sons, Inc。  new window
 
 
 
 
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