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題名:隨時間變動之股價指數期貨避險比率:全球市場之證據
書刊名:管理科學研究
作者:廖永熙林福坤
作者(外文):Liau, Yung-shiLin, Fu-kun
出版日期:2021
卷期:15:1
頁次:頁25-39
主題關鍵詞:避險比率金融危機波動不對稱到期日ADCC-TGARCH模型Hedge ratioFinancial crisisVolatility asymmetryMaturity dateADCC-TGARCH 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:4
  • 點閱點閱:2
期刊論文
1.張焯然(20010800)。臺股指數期貨動態避險效果之探討。臺灣管理學刊,1(1),151-164。new window  延伸查詢new window
2.Engle, Robert F.(2002)。Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models。Journal of Business & Economic Statistics,20(3),339-350。  new window
3.Bollerslev, T.(1986)。Generalized Autoregressive conditional heteroscedasticity。Journal of Econometrics,31(3),307-327。  new window
4.Cappiello, L.、Engle, R. F.、Sheppard, K.(2006)。Asymmetric dynamics in the correlations of global equity and bond returns。Journal of Financial Econometrics,4(4),537-572。  new window
5.Ghosh, A.(1993)。Hedging with Stock Index Futures:Estimation and Forecasting with Error Correction Model。Journal of Futures Markets,1(4),743-752。  new window
6.Kenourgiosa, D.、Padhib, P.(2012)。Emerging markets and financial crises: Regional, global or isolated shocks?。Journal of Multinational Financial Management,22,24-38。  new window
7.Lindahl, M.(1992)。Minimum Variance Hedge Ratio for Three Stock Index Futures: Duration and Expiration Effects。Journal of Futures Markets,12,33-53。  new window
8.Syriopoulos, T.、Roumpis, E.(2009)。Dynamic correlations and volatility effects in the Balkan equity markets。Journal of International Financial Markets, Institutions & Money,19,565-587。  new window
9.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
 
 
 
 
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