:::

詳目顯示

回上一頁
題名:亞洲股市間共整合關係之實證研究
書刊名:證券市場發展季刊
作者:徐守德 引用關係
出版日期:1995
卷期:7:4=28
頁次:頁33-57
主題關鍵詞:共整合單根檢定Granger共整合檢定Johansen最大概似法CointegrationUnit root testGranger cointegration testMaximum likeihood method
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(14) 博士論文(3) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:14
  • 共同引用共同引用:0
  • 點閱點閱:21
期刊論文
1.Levy, Haim、Sarnat, Marshall(1970)。International Diversification of Investment Portfolios。The American Economic Review,60(4),668-675。  new window
2.Kugler, P.、Lenz, C.(1993)。Multivariate Cointegration Analysis and the Long-Run Validity of PPP。Review of Economics and Statistics,75(1),180-184。  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.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
5.Solnik, B. H.(1974)。Why not diversify internationally rather than domestically?。Financial Analysts Journal,30,48-54。  new window
6.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
7.Chan, K. C.、Gup, B. E.、Pan, M. S.(1992)。An Empirical Analysis of Stock Prices in Major Asian Market and the United States。The Financial Review,27(2),289-307。  new window
8.Madura, Jeff(1985)。International Portfolio Construction。Journal of Business Research,13(1),87-95。  new window
9.Johansen, Soren(1988)。Statical Analysis of Cointegration Vectors。Journal of Economic Dynamics and Control,12,231-254。  new window
10.Bertoneche, R.(1979)。Internationally diversified portfolio。Nebraska Journal of Economics and Business,58-72。  new window
11.Granger, C. W. J.(1986)。Developments in the Study of Cointegrated Economic Variables。Oxford Bulletin of Economics and Statistics,48(3),213-238。  new window
12.Lin, Antsong、Swanson, Peggy E.(1993)。Measuring Global Money Market Interrelationships: An Investigation of Five Major World Currencies。Journal of Banking and Finance,17(1),609-628。  new window
13.Ahumada, H.(1992)。A Dynamic Model of the Demand for Currency: Argentina 1977-1988。Journal of Policy Modeling,14(3),335-361。  new window
14.Grubel, H. G.、Fadner, K.(1971)。The interdependence of international equity markets。Journal of Finance,26(1),89-94。  new window
15.Lai, K. S.、Lai, M.(1991)。A Cointegration Test for Market Efficiency。Journal of Futures Markets,11(5),567-575。  new window
16.Divecha, Arjun B.、Drach, J.、Stefek, Den(1992)。Emerging Markets: A Quantitative Perspective。Journal of Portfolio Management,19(1),41-50。  new window
17.Coleman, Mark(1986)。Cointegration-Based Tests of Daily Foreign Exchange Market Efficiency。Economic Letters,22,375-380。  new window
18.Odier, Patrick、Solnik, Bruno(1993)。Lessons for International Asset Allocations。Financial Analysis Journal,49,63-77。  new window
19.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
20.Corbae, S. L.、Ouliaris, S. P.(1986)。Robust Tests for Unit Roots in the Foreign Exchange Market。Economic Letters,22,375-380。  new window
21.Dickey, D. A.、Fuller, W. A.(1979)。Distribution of the Estimators in Autoregressive Time Series with a Unit Root。Journal of American Statistical Association,74,427-431。  new window
22.Dwyer, B. G.、Hafer, T.(1988)。Are National Stock Markets Linked?。Federal Reserve Bank of St. Louis Economic Review,70(3),3-14。  new window
23.Forbes, R. F.(1993)。The Integration of European Stock Markets: The Case of the Banks。Financial Accountability & Management,126-149。  new window
24.Fung, H. G.、Isberg, S. C.(1992)。The International Transmission and US Interest: A Cointegration Analysis。Journal of Banking and Finance,16,757-769。  new window
25.Haney, S. C.、Lloyd, R.(1978)。An Examination of the Stability of the Intertemporal Relationship Among National Stock Market Indices。Nebraska Journal of Economics and Business,17,55-65。  new window
26.Hasza, David P.、Fuller, Wayne A.(1979)。Estimation for Autoregressive Processes with Unit Root。Annuals of Statistics,7,1106-1120。  new window
27.MacDonald, R.、Taylor, M. P.(1989)。Foreign Exchange Market Efficiency and Cointegrations: Some Evidence from the Recent Float。Economic Letters,29,289-307。  new window
28.Maldonado, R.、Saunders, A.(1981)。International Portfolio Diversification and Intertemporal Stability of International Stock Market Relationships 1957-1978。Financial Management,1981(Autumn),54-63。  new window
29.Meese, R. A.、Singleton, K. J.(1982)。On Unit Roots and the Emprical Modeling of Exchange Rates。Journal of Finance,37,1029-1035。  new window
30.Miller, S. M.(1991)。Monetary Dynamics: An Application of Cointeoration and Error Correction Modeling。Journal of Money, Credit, and Banking,23(2),139-152。  new window
31.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
32.Eun, Cheol S.、Shim, Sangdal(1989)。International Transmission of Stock Market Movements。Journal of Financial and Quantitative Analysis,24(2),241-256。  new window
33.Grubel, Herbert G.(1968)。Internationally Diversified Portfolios: Welfare Gains and Capital Flows。The American Economic Review,58(5),1299-1314。  new window
34.Hilliard, J. E.(1979)。The relationship between equity indices on world exchanges。Journal of Finance,34(1),103-114。  new window
35.Johansen, Søren、Juselius, Katarina(1990)。Maximum Likelihood Estimation and Inference on Cointegration: with Applications to the Demand for Money。Oxford Bulletin of Economics and Statistics,52(2),169-210。  new window
36.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
37.Baillie, Richard T.、Bollerslev, Tim(1989)。Common Stochastic Trends in a System of Exchange Rates。The Journal of Finance,44(1),167-181。  new window
38.Gilbert, C. L.(1986)。Professor Hendry's econometric methodology。OxfordBulletin of Economics and Statistics,48(3),283-307。  new window
圖書
1.Fuller, Wayne A.(1976)。Introduction to Statistical Time Series。New York, NY:John Wiley and Sons。  new window
2.Maddala, G. S.(1992)。Introduction to Econometrics。New York:Macmillan。  new window
3.Cuthbertson, M. T.、Hall, W.、Taylor, M. P.(1992)。Applied Econometric Techniques。The University of Michigan Press。  new window
4.Davidson, Russell、MacKinnon, James G.(1993)。Estimation and Inference in Econometrics。Oxford University Press。  new window
圖書論文
1.MacKinnon, J. G.(1991)。Critical Values for Cointegration Tests。Long-Run Economic Relationships: Readings in Cointegration。Oxford University Press。  new window
2.Granger, C. W. J.(1976)。Where Are the Controversies in Econometric Methodology。Modelling Economic Series: Readings in Econometric Mathodology。Oxford University Press。  new window
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
QR Code
QRCODE