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題名:以轉換函數模式分析香港股價對臺灣股價之影響與預測
書刊名:中國統計學報
作者:徐守德 引用關係霍熾榮
出版日期:1994
卷期:32:2
頁次:頁197-224
主題關鍵詞:股價轉換函數自我相關交互相關Stock priceTransfer functionAutocorrelationCross correlation
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)
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  • 共同引用共同引用:0
  • 點閱點閱:11
期刊論文
1.Akaike, H.(1978)。A Bayesian analysis of the minimum AIC procedure。Annals of the Institute of Statistical Mathematics,30,9-14。  new window
2.Levy, H.、Sarnat, M.(1970)。International diversification of investment portfolios。The American Economic Review,60(4),668-675。  new window
3.Ripley, Duncan M.(1973)。Systematic Elements in the Linkage of National Stock Market Indices。Review of Economics and Statistics,55(3),356-361。  new window
4.Shibata, R.(1976)。Selection of the order of an autoregressive model by Akaike's information criterion。Biometrika,63(1),117-126。  new window
5.Grubel, H. G.(1968)。International diversified portfolio: Welfare gains and capital flows。American Economic Review,58,1299-1314。  new window
6.Bailey, W.、Stulz, R. M.(1990)。Benefits Of International Diversification: The Case Of Pacific Basin Stock Markets。Journal of Portfolio Management,16(4),57-61。  new window
7.Solnik, B.(1974)。Why not diversify internationally rather than domestically?。Financial Analysts Journal,30,48-54。  new window
8.Markridakis, S. G.、Wheelwright, S. C.(1974)。An Analysis of the Interrelationships Among the Major World Stock Exchanges。Journal of Business, Finance, and Accounting,1(2),195-216。  new window
9.Becker, K. G.、Finnerty, J. E.、Gupta, M.(1990)。The Intertemporal Relation between the U.S. and Japanese Stock Markets。Journal of Finance,45(4),1297-1306。  new window
10.Hamao, Y.、Masulis, R. W.、Ng, V.(1990)。Correlations in price changes and volatility acoss international stock markets。Review of Financial Studies,3,281-308。  new window
11.Agmon, T.(197209)。The Relations among Equity Markets: A Study of Share Price Co-Movement in the United States, United Kingdom, Germany, and Japan。Journal of Finance,27,839-855。  new window
12.Eaker, M. R.、Grant, D. M.(1990)。Currency Hedging Strategies for Internationally Diversified Equity Portfolios。Journal of Portfolio Management,17(1),30-32。  new window
13.Grubel, H. G.、Fadner, K.(1971)。The interdependence of international equity markets。Journal of Finance,26(1),89-94。  new window
14.Haugh, L. D.(1976)。Checking the independence of two covariance-stationary time series: a univariate residual cross-correlation approach。Journal of the American Statistical Association,71,378-385。  new window
15.Halpern, Philip(1993)。Investing Abroad: A Review of Capital Market Integration and Manager Performance。Journal of Portfolio Management,20,47-57。  new window
16.Bartlett, M. S.(1946)。On the Theoretical Specification and Sampling properties of Autocorrelated Time Series。Supplement to the Journal of the Royal Statistical Society,8(1),27-41。  new window
17.Agmon, Tamir(1973)。Country Risk: The Significance of the Country Factor for Share Price Movements in the U. K., Germany and Japan。Journal of Business,46,24-32。  new window
18.Panton, D. B.、Lessig, V. P.、Joy, O. M.(1976)。Comovements of International Equity Markets: A Taxonomic Approach。Journal of Financial and Quantitative Analysis,11,415-432。  new window
19.Akaike, H.(1979)。A Bayesian Extension of the Minimum AIC Procedure of Autoregressive Model Fitting。Biometrika,66(2),237-242。  new window
20.Chan, K. C.、Gup, Benton E.、Pan, M. S.(1992)。An empirical analysis of stock prices in major Asia markets and the United States。The Financial Review,27(2),289-307。  new window
21.Haugh, L. D.、Box, G. E. P.(1977)。Identification of dynamic regression distrubuted lag models: connecting two time series。J. Amer. Statist. Assoc.,72,121-130。  new window
22.Lessard, R. D.(1974)。International portfolio diversification: a multivariate analysis for a group of Latin American countries。J. Finance,29,619-633。  new window
23.Odier, P.、Solnik, B.(1993)。Lessons for int ernational asset allocation。Financicd Analysis Journal,49,63-77。  new window
24.Fischer, K. P.、Palasviria, A. P.(1990)。High Road to a Global Marketplace: The International Transmission of Stock Market Fluctuations。Financial Review,25(3),371-394。  new window
25.Eun, Cheol S.、Shim, Sangdal(1989)。International Transmission of Stock Market Movements。Journal of Financial and Quantitative Analysis,24(2),241-256。  new window
26.Hilliard, J. E.(1979)。The relationship between equity indices on world exchanges。Journal of Finance,34(1),103-114。  new window
27.Akaike, Hirotsugu(1974)。A new look at the statistical model identification。IEEE Transactions on Automatic Control,19(6),716-723。  new window
28.Quenouille, M. H.(1949)。Approximate Tests of Correlation in Time-series。Journal of the Royal Statistical Society: Series B,11(1),68-84。  new window
會議論文
1.Akaike, H.(1973)。Information theory and an extension of the maximum likelihood principles。Second international Symposium on Information Theory,267-281。  new window
圖書
1.Bowerman, Bruce L.、O'Connell, Richard T.(1987)。Time series forecasting: Unified concepts and computer implementation。Boston, Massachusetts:Duxbury Press。  new window
2.McGee, V. E.、Wheelwright, S. C.、Makridakis, S.(1983)。Forecasting: Methods and Applications。New York:Wiley。  new window
3.Vandaele, Walter(1983)。Applied Time Series and Box-Jenkins Models。New York, NY:Academic Press。  new window
4.Bartlett, M. S.(1966)。An Introduction to Stochastic Processes with Special Reference to Methods and Applications。Cambridge:Cambridge University Press。  new window
5.Box, George E. P.、Jenkins, Gwilym M.(1976)。Time Series Analysis: Forecasting and Control。San Francisco, CA:Holden-Day。  new window
6.Wei, William W. S.(1990)。Time series analysis: Univariate and multivariate methods。Addison-Wesley Inc.。  new window
 
 
 
 
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