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題名:匯率、美國股價報酬與日本股價報酬波動之靜態關聯性分析:誤差修正與三變量GJR-GARCH-M模型之應用
書刊名:數據分析
作者:洪萬吉李俊彥
作者(外文):Horng, Wann-jyiLee, Jun-yen
出版日期:2010
卷期:5:1
頁次:頁1-21
主題關鍵詞:股價報酬匯率不對稱效果三變量GARCH模型三變量GJR-GARCH-M模型Stock price returnExchange rateAsymmetrical effectTrivariate GARCH modelTrivariate GJR-GARCH-M model
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(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:6
  • 點閱點閱:2
期刊論文
1.Cheung, Y.-W.、Ng, L. K.(1992)。Stock Price Dynamics and Firm Size: An Empirical Investigation。Journal of Finance,47(5),1985-1997。  new window
2.Duffee, G. R.(1995)。Stock Returns and Volatility: A Firm Level Analysis。Journal of Financial Economics,37(3),399-420。  new window
3.Yang, Sheng-Yung、Doong, Shuh-Chyi(20040800)。Price and Volatility Spillovers between Stock Prices and Exchange Rates: Empirical Evidence from the G-7 Countries。International Journal of Business and Economics,3(2),139-153。new window  new window
4.Blair, B.、Poon, S. H.、Taylor, S. J.(2002)。Asymmetric And Crash Effects In Stock Volatility For The S&P 100 Index And Its Constituents。Applied Financial Economics,12,319-329。  new window
5.Granger, C. W. J.、Yang, C. W.、Huang, B. N.(2000)。A Bivariate Causality between Stock Prices and Exchange Rates: Evidence from Recent Asian Flu。Quarterly Review of Economics and Finance,40,337-354。  new window
6.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
7.Dickey, D. A.、Fuller, W. A.(1979)。Distribution of Estimates for Autoregressive Time Series With a Unit Root。Journal of the American Statistical Association,74(366),427-431。  new window
8.Campbell, J. Y.、Hentschel, L.(1992)。No News is Good News: An Asymmetric Models of Changing Volatility in Stock Returns。Journal of Financial Economics,31(3),281-318。  new window
9.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
10.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
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.Horng, Wann-Jyi、Tsai, Ju-Lan(20070800)。A Static Relatedness Analysis of U.S., Japan, and Hong Kong Stock Markets Returns Volatility: Using the Trivariate Asymmetric GARCH Model。Academy of Taiwan Business Management Review,3(2),10-18。new window  new window
16.Johansen, S.(1991)。Estimation and Hypothesis Testing of Cointegration Vector in Gaussian Vector Autoregressive Models。Econometrica,52,389-402。  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.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
21.Poon, W. P. H.、Fung, H. G.(2000)。Red chip or H shares: Which China-backed securities process information the fastest?。Journal of Multinational Financial Management,10,315-343。  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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