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題名:臺、港、日即期匯率互動性研究:VEC GJR-GARCH模型之應用
書刊名:臺灣銀行季刊
作者:劉祥熹游竣喬
出版日期:2020
卷期:71:2
頁次:頁27-46
主題關鍵詞:匯率外匯市場互動性VEC GJR-GARCH
原始連結:連回原系統網址new window
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  • 點閱點閱:2
期刊論文
1.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
2.Johansen, Soren、Juselius, Katarina(1990)。Maximum likelihood estimation and inference on co-integration with application to the demand for money。Oxford Bulletin of Economics and Statistics,52(2),169-210。  new window
3.Cassel, G.(1916)。The Present Situation of the Foreign Exchanges。Economic Journal,26(101),62-65。  new window
4.Harvey, Andrew、Sucarrat, Genaro(2014)。EGARCH models with fat tails, skewness and leverage。Computational Statistics & Data Analysis,76,320-338。  new window
5.Ali, G.(2013)。EGARCH, GJR-GARCH, TGARCH, AVGARCH, NGARCH, IGARCH and APARCH Models for Pathogens at Marine Recreational Sites。Journal of Statistical and Econometric Methods,2(3),57-73。  new window
6.Engle, Robert F.、Granger, Clive W. J.(1987)。Co-integration and Error Correction: Representation, Estimation, and Testing。Econometrica: Journal of the Econometric Society,55(2),251-276。  new window
7.Ajayi, M. A.、Nageri, K. I.(2016)。Measuring Leverage Effect on the Nigerian Stock Exchange in the Post Financial Meltdown TGARCH Vs EGARCH。Amity Journal of Finance,1(2),1-21。  new window
8.Akaike, H.(1969)。Fitting autoregressive models for regression。Annals of the Institute of Statistical Mathematics,21,243-247。  new window
9.Harvey, A.、Lange, R. J.(2018)。Modeling the interactions between volatility and returns using EGARCH‐M。Journal of Time Series Analysis,39(6),909-919。  new window
10.Johansen, S.(1991)。Estimation and Hypothesis Testing of Co-Integration Vectors in Gaussian Vector Auto-regressive Models。Econometrica,59(6),1551-1580。  new window
11.Ma, X.、Yang, R.、Zou, D.、Liu, R.(2020)。Measuring extreme risk of sustainable financial system using GJR-GARCH model trading data-based。International Journal of Information Management,50,526-537。  new window
12.Mouna, A.、Anis, J.(2016)。Market, interest rate, and exchange rate risk effects on financial stock returns during the financial crisis: AGARCH-M approach。Cogent Economics & Finance,4(1),1-12。  new window
13.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
14.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
圖書
1.Smith, A.(1776)。The Wealth of Nations。New York, NY:Modern Library。  new window
2.Goschen, G. J. G.(1901)。The Theory of the Foreign Exchanges。London:E. Wilson。  new window
3.Ricardo, D.、Sraffa, Piero(2004)。The Works and Correspondence of David Ricardo。Indianapolis:Liberty Fund。  new window
4.Keynes, John Maynard(1923)。A Tract on Monetary Reform。London:Macmillan。  new window
 
 
 
 
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