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題名:報酬衝擊對條件波動所造成之不對稱效果--臺灣股票市場之實證分析
書刊名:證券市場發展季刊
作者:王甡
出版日期:1995
卷期:7:1=25
頁次:頁125-161
主題關鍵詞:槓桿效果不對稱效果條件異質變異數診斷檢定法資訊影響曲線Leverage effectAsymmetric effectConditional heteroskedasticityDiagnostic testNews inpact curveNIC
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(38) 博士論文(5) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:37
  • 共同引用共同引用:0
  • 點閱點閱:31
期刊論文
1.Schwert, G. W.(1970)。Stock Volatility and the Crash of 87。Review of Financial Studies,3(1),77-102。  new window
2.Engle, R. F.(1990)。Stock Volatility and the Crash of '87: Discussion。Review of Financial Studies,3(1),103-106。  new window
3.Haugen, R. A.、Talmor, E.、Torous, W. N.(1991)。The Effect of Volatility Changes on the Level of Stock Prices and Subsequent Expected Returns。Journal of Finance,46(3),985-1007。  new window
4.Schwert, G. William(1989)。Why Does Stock Market Volatility Change Over Time?。Journal of Finance,44(5),1115-1153。  new window
5.Pagan, Adrian R.、Schwert, G. William(1990)。Alternative Models for Conditional Stock Volatility。Journal of Econometrics,45(1/2),264-290。  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.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
8.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
9.Bollerslev, Tim(1987)。A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return。The Review of Economics and Statistics,69(3),542-547。  new window
10.Bollerslev, Tim、Chou, Ray Y.、Kroner, Kenneth F.(1992)。ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence。Journal of Econometrics,52(1/2),5-59。  new window
11.Campbell, John Y.、Hentschel, Ludger(1992)。No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns。Journal of Financial Economics,31(3),281-318。  new window
12.Christie, Andrew A.(1982)。The Stochastic Behavior of Common Stock Variances: Value, Leverage and Interest Rate Effects。Journal of Financial Economics,10(4),407-432。  new window
13.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica,50(4),987-1008。  new window
14.Nelson, Daniel B.(1991)。Conditional Heteroskedasticity in Asset Returns: A New Approach。Econometrica: Journal of the Econometric Society,59(2),347-370。  new window
15.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.Black, Fisher(1976)。Studies of Stock Price Volatility Changes。The 1976 Meeting of Business and Economic Statistics Section。American Statistical Association。177-181。  new window
研究報告
1.Glosten, L. R.、Jagannathan, R.、Runkle, D. E.(1989)。Relationship between the Expected Value and the Volatility of the Nominal Excess Return on Stocks。Department of Finance, Columbia University。  new window
圖書
1.Judge, George G.、Griffiths, William E.、Hill, R. Carter、Lutkepohl, Hlemut、Lee, Tsoung-Chao(1985)。The Theory and Practice of Econometrics。John Wiley & Sons。  new window
2.Box, G. E. P.、Jenkins, G. M.(1976)。Time Series Analysis: Forecasting, and Control。Holden-Day。  new window
3.Mills, T. C.(1993)。The Econometric Modelling of Financial Time Series。Cambridge University Press。  new window
4.Hamilton, J. D.(1994)。Time Series Analysis。Princeton, New Jersey:Princeton University Press。  new window
 
 
 
 
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