:::

詳目顯示

回上一頁
題名:An Impact of the Canada and the U.K. Return Volatility on the Hong Kong and the Singapore Stock Market Returns: A DCC and Bivariate AIGARCH Model
書刊名:數據分析
作者:許正諺洪萬吉許鎦響
作者(外文):Hsu, Cheng-yenHorng, Wann-jyiHsu, Liu-hsiang
出版日期:2013
卷期:8:1
頁次:頁55-68
主題關鍵詞:動態條件相關雙變量AIGARCH模型股票市場報酬不對稱效果Dynamic conditional correlationBivariate AIGARCH modelStock market returnsAsymmetric effect
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:0
  • 點閱點閱:1
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.Engle, R. F.(2002)。Dynamic conditional correlation: a simple class of multivariate GARCH models。Journal of Business and Economic Statistics,20(3),339-350。  new window
3.Zakoian, Jean-Michel(1994)。Threshold Heteroskedastic Models。Journal of Economic Dynamics and Control,18(5),931-955。  new window
4.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
5.Rabemananjara, R.、Zakolin, J. M.(1993)。Threshold ARCH Models and Asymmetries in Volatility。Journal of Applied Econometrics,8(1),31-49。  new window
6.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
7.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
8.Tsay, Ruey S.(1989)。Testing and Modeling Threshold Autoregressive Processes。Journal of the American Statistical Association,84(405),231-240。  new window
9.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
10.Johansen, S.(1991)。Estimation and Hypothesis Testing of Cointegration Vector in Gaussian Vector Autoregressive Models。Econometrica,52,389-402。  new window
11.Kapetanios, George、Shin, Yongcheol、Snell, Andy(2003)。Testing for a unit root in the nonlinear STAR framework。Journal of Econometrics,112(2),359-379。  new window
12.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
13.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
圖書
1.Tsay, R. S.(2004)。Analysis of Financial Time Series。New York:John Wiley & Sons, Inc。  new window
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
QR Code
QRCODE